Random walker in a temporally deforming higher-order potential forces observed in financial crisis

Kota Watanabe, Hideki Takayasu and Misako Takayasu

Papers from arXiv.org

Abstract: Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces [Physica A 370, pp91-97, 2006]. By analyzing high-frequency financial time series of exceptional events such as bubbles and crashes, we confirm the appearance of nonlinear potential force in the markets. We show statistical significance of its existence by applying the information criterion. This new time series analysis is expected to be applied widely for detecting a non-stationary symptom in random phenomena.

Date: 2008-08, Revised 2008-11
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/0808.3339 Latest version (application/pdf)

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:arx:papers:0808.3339

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().