2017 年 2017 巻 FIN-019 号 p. 09-
A financial market is a diversified dynamical system with many constraints, and price movements are modeled in terms of the micro properties of each transactions and the macro properties of dynamical systems. These two properties must be bridged by the multiplicity. The model forcuses on the size of tick and the number of transactions with the price movement compared with the previous transctions and explains stochastic nature of short-term volatilities and persistently stable long-term volatilities as a results of unique behaviour of heterogeneous market participants.