Origin of Critical Behavior in Ethernet Traffic

We perform a simplified Ethernet traffic simulation in order to clarify the physical mechanism of the phase transition behavior which has been experimentally observed in the flow density fluctuation of Internet traffic. In one phase traffics from nodes connected with an Ethernet cable are mixed, and in the other phase, the nodes alternately send bursts of packets. The competition of sending packets among nodes and the binary exponential back-off algorithm are revealed to play important roles in producing $1/f$ fluctuations at the critical point.Comment: 14 pages, 9 figures. To appear physica

Traders' strategy with price feedbacks in financial market

We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible for the slow diffusion in short times, apparent trends and power law distribution of price changes.Comment: 4 pages, 5 figures, submitted to Physica

Characterization of foreign exchange market using the threshold-dealer-model

We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, long term memory of volatility and non-Poissonian intervals. We also clarify the causality between microscopic dealers' dynamics and macroscopic market's empirical laws.Comment: 10pages, 5figures, 1table, Proceedings of APFA

The mechanism of double exponential growth in hyper-inflation

Analyzing historical data of price indices we find an extraordinary growth phenomenon in several examples of hyper-inflation in which price changes are approximated nicely by double-exponential functions of time. In order to explain such behavior we introduce the general coarse-graining technique in physics, the Monte Carlo renormalization group method, to the price dynamics. Starting from a microscopic stochastic equation describing dealers' actions in open markets we obtain a macroscopic noiseless equation of price consistent with the observation. The effect of auto-catalytic shortening of characteristic time caused by mob psychology is shown to be responsible for the double-exponential behavior.Comment: 9 pages, 5 figures and 2 tables, submitted to Physica

Analysis of price diffusion in financial markets using PUCK model

Based on the new type of random walk process called the Potentials of Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is amplified 2/(2 + b) times, where b is the coefficient of quadratic term of the potential. In short time scales the price diffusion depends on the size M of the super moving average. Both numerical simulations and real data analysis of Yen-Dollar rates are consistent with theoretical analysis.Comment: 8 pages, 4 figures, Proceedings of APFA

The Grounds For Time Dependent Market Potentials From Dealers' Dynamics

We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer model. We find that dealers' feedback of linear prediction of market price based on the latest mean price changes plays the central role in the market's potential force. When markets are dominated by dealers with positive feedback the resulting potential force is repulsive, while the effect of negative feedback enhances the attractive potential force.Comment: 9 pages, 3 figures, proceedings of APFA