Analysis of price diffusion in financial markets using PUCK model

Takayuki Mizuno, Hideki Takayasu and Misako Takayasu

Physica A: Statistical Mechanics and its Applications, 2007, vol. 382, issue 1, 187-192

Abstract: 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)-1 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.

Keywords: Market prices; Potential force; Hurst exponent (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:382:y:2007:i:1:p:187-192

DOI: 10.1016/j.physa.2007.02.049

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