Analysis of price diffusion in financial markets using PUCK model

Takayuki Mizuno, Hideki Takayasu and Misako Takayasu

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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) 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.

Date: 2006-08
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