ANTICORRELATIONS AND SUBDIFFUSION IN FINANCIAL SYSTEMS

K. Staliunas ()
Additional contact information
K. Staliunas: Vilnius University, Sauletekio al.9 korp.3, 2040 Vilnius, Lithuania;

Advances in Complex Systems (ACS), 2003, vol. 06, issue 02, 251-262

Abstract: Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. It is found that in a stable regime the noise power spectrum of the system is1/f-like:∝ ω- 3/2(where ω is the frequency), that the autocorrelation function of the increments of the variables (returns of prices) is negative and follows the power law:∝ - τ- 3/2(where τ is the delay), and that the stochastic drift of the variables (prices, exchange rates) is subdiffusive:∝ tH(wheretis the time,H ≈ 1/4is the Hurst, or self-similarity, exponent). These dependencies correspond to those calculated from historical $/EURO exchange rates.

Keywords: Econophysics; anticorrelations; finance; nonlinear dynamics; statistics (search for similar items in EconPapers)
Date: 2003
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219525903000839
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:acsxxx:v:06:y:2003:i:02:n:s0219525903000839

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219525903000839

Access Statistics for this article

Advances in Complex Systems (ACS) is currently edited by Frank Schweitzer

More articles in Advances in Complex Systems (ACS) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().