Anticorrelations and subdiffusion in financial systems

Kestutis Staliunas

Papers from arXiv.org

Abstract: Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. Anticorrelations of price returns, and subdiffusion of prices is found from the model, and and compared with those calculated from historical $/EURO exchange rates.

Date: 2002-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0203591

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