Joshin Murai

研究成果

年別の研究成果 1995 2000 2001 2003 2004 2005 2008 2009 2013 2015

• 26 Article
• 1 Chapter

年別の研究成果

年別の研究成果

検索結果

• 2013

  Application of the Cluster Expansion to a Mathematical Model of the Long Memory Phenomenon in a Financial Market

  Kuroda, K., Maskawa, J. I. & Murai, J., 8月 2013, In: Journal of Statistical Physics. 152, 4, p. 706-723 18 p.

  研究成果 › 査読

  • Cluster Expansion 100%
  • Financial Markets 87%
  • Long Memory 83%
  • mathematical models 57%
  • Discrete-time 56%
  2 被引用数 (Scopus)

• Market-wide price co-movement around crashes in Tokyo stock exchange

  Murai, J., 2013, In: Evolutionary and Institutional Economic Review. 10, p. 81-92 12 p.

  研究成果
• 2012

  Long memory in trade signs and short memory in stock prices

  Kuroda, K., Maskawa, J. I. & Murai, J., 2012, In: Progress of Theoretical Physics Supplement. 194, p. 11-27 17 p.

  研究成果 › 査読

  Open Access

  • stochastic processes 100%
  • mathematical models 69%
  • expansion 52%
  1 被引用数 (Scopus)
• 2010

  株価変動過程と売買符号のLong Memory

  Murai, J., 2010, In: 物性研究. 93, 5, p. 633-636 4 p.

  研究成果
• 2009

  Graphs for Menshikov-Zuev's Problems on ρ-percolation model

  Murai, J., 2009, In: 岡山大学経済学会雑誌. 40, 4, p. 115-125 11 p.

  研究成果

• Long memory in finance and fractional brownian motion

  Kuroda, K. & Murai, J., 2009, In: Progress of Theoretical Physics Supplement. 179, p. 26-37 12 p.

  研究成果 › 査読

  Open Access

  • finance 100%
  • scaling 33%
  • time lag 13%
  • theorems 13%
  • mathematical models 13%
  2 被引用数 (Scopus)
• 2008

  A probabilistic model on the long memory property in stock market

  Murai, J., 2008, In: Internaional conference 2008 in Okayama, Rising Economies and Regional Cooperation in the East Asia and Europe. p. 1-20 20 p.

  研究成果

• Fat tail phenomena in a stochastic model of stock market : the long-range percolation approach

  Murai, J., 2008, In: 岡山大学経済学会雑誌. 39, 4, p. 151-176 26 p.

  研究成果

• 符号相関についての数学モデル

  Murai, J., 2008, In: The Institute of Statistical Mathematics Cooperative Research Report 209, Econophysics and its Applications. 4, p. 87-95 9 p.

  研究成果
• 2007

  Limit theorems in financial market models

  Kuroda, K. & Murai, J., 9月 1 2007, In: Physica A: Statistical Mechanics and its Applications. 383, 1 SPEC. ISS., p. 28-34 7 p.

  研究成果 › 査読

  • Market Model 100%
  • Financial Markets 93%
  • Limit Theorems 73%
  • theorems 62%
  • stochastic processes 44%
  2 被引用数 (Scopus)
• 2006

  Wulff shape and stock price process

  Murai, J., 2006, In: Econophysics and its applications (2), The institute of statistical mathematics cooperative research report. 187, p. 150-156 7 p.

  研究成果
• 2005

  Application of statistical mechanics to stock price processes

  Murai, J., 2005, In: Proceedings of the First Sapporo Workshop on Financial Engineering and Its Applications. p. 31-48 18 p.

  研究成果

• Stock price process and the long-range percolation

  Murai, J., 2005, In: Practical Fruits of Econophysics. p. 163-167 5 p.

  研究成果
• 2004

  Stock price process and the long-range percolation.

  Murai, J., 2004, In: 数理解析研究所講究録. 1391, p. 229-242 14 p.

  研究成果

• The Dobrushin-Hryniv theory for the two-dimensional latttice Widom-Rowlinson model

  Murai, J., 2004, In: Adv. Stud. Pure Math.. Vol.39, p. 233-281 49 p.

  研究成果
• 2003

  Fluctuations of shapes for small area conditions

  Murai, J., 2003, In: 日本数学会２００３年度秋季総合分科会統計数学分科会予稿集. p. 11-12 2 p.

  研究成果

• Stock price process and the long-range percolation

  Murai, J., 2003, In: 科研費シンポジウム「パーコレーション，無限粒子系とその周辺」予稿集.

  研究成果

• Stock price process and the long-range percolation

  Murai, J., 2003, In: 共同研究集会「経済の数理解析」予稿集.

  研究成果
• 2002

  相分離クラスタの確率過程

  Murai, J., 2002, In: 電子情報通信学会誌. Vol.85, No.8, p. 639-643 5 p.

  研究成果
• 2001

  Critical probabilities on r-percolation model

  Murai, J., 2001, In: 平成１０年度?平成１２年度科学研究費補助金（基盤研究(B)(2)）研究成果報告書『フラクタル上の解析学の展開』（課題番号10440029）. p. 23-23 1 p.

  研究成果

• The central limit theorem of the Dobrushin-Hryniv type for the phase separation line of the Widom-Rowlinson model

  Murai, J., 2001, In: 科研費シンポジウム「流体力学極限とその周辺」予稿集.

  研究成果
• 2000

  Glauber-type dynamicsのシミュレーションについて

  Murai, J., 2000, In: 平成９年度?平成１１年度科学研究費補助金（基盤研究(B)(2)）研究成果報告書『ランダム系の臨界現象の解析』（課題番号09440079）. p. 27-38 12 p.

  研究成果

• 密度付きパーコレーションモデルにおける臨界確率の評価について

  Murai, J., 2000, In: 平成９年度?平成１１年度科学研究費補助金（基盤研究(B)(2)）研究成果報告書『ランダム系の臨界現象の解析』（課題番号09440079）. p. 80-83 4 p.

  研究成果
• 1998

  A gap between the rho-percolation threshold and percolation threshold.

  Murai, J., 1998, In: 科研費研究集会「臨界現象の確率モデルとその周辺」予稿集.

  研究成果
• 1997

  Percolation on high dimensional Menger Sponges

  Murai, J., 1997, In: Kobe Journal of Mathematics. 14, p. 49-61 13 p.

  研究成果
• 1995

  Diffusion processes on Mandala

  Murai, J., 1995, In: Osaka Journal of Mathematics. 32, p. 887-917 31 p.

  研究成果

  4 被引用数 (Scopus)