Statistical properties of deterministic threshold elements — the case of market price

Hideki Takayasu, Hitoshi Miura, Tadashi Hirabayashi and Koichi Hamada

Physica A: Statistical Mechanics and its Applications, 1992, vol. 184, issue 1, 127-134

Abstract: We analyze statistical properties of a set of deterministic threshold elements which is introduced as a model for the stock market. The macroscopic variable of the stock market price shows seemingly stochastic fluctuation with a f-2 power spectrum consistent with real economic fluctuations. The maximum Lyapunov exponent is estimated to be zero indicating that the system is at the edge of chaos.

Date: 1992
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:184:y:1992:i:1:p:127-134

DOI: 10.1016/0378-4371(92)90161-I

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