Yamasaki, Kazuko; Mackin, Kenneth J. - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 417-423
In this work, we show two main results. One is that we were able to extract the macroscopic stochastic process of returns and volumes from the microscopic stochastic process of the traders’ judgments, using a simple case market simulation. The other is that we successfully reproduced...