Potential force observed in market dynamics

Misako Takayasu, Takayuki Mizuno and Hideki Takayasu

Physica A: Statistical Mechanics and its Applications, 2006, vol. 370, issue 1, 91-97

Abstract: As a model of market price, we introduce a new type of random walk in a moving potential, which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks are similar to those of ordinary random walks for large time scales; however, their short-time properties are approximated by abnormal diffusion with nontrivial exponents. A new data-analysis method based on this model enables us to observe temporal changes of potential forces from high-precision market data directly.

Keywords: Market prices; Potential force; Moving averages (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:370:y:2006:i:1:p:91-97

DOI: 10.1016/j.physa.2006.04.041

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