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Analysis of price diffusion in financial markets using PUCK model

Author

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  • Mizuno, Takayuki
  • Takayasu, Hideki
  • Takayasu, Misako

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.

Suggested Citation

  • Mizuno, Takayuki & Takayasu, Hideki & Takayasu, Misako, 2007. "Analysis of price diffusion in financial markets using PUCK model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 187-192.
    • Handle: RePEc:eee:phsmap:v:382:y:2007:i:1:p:187-192
    DOI: 10.1016/j.physa.2007.02.049
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    References listed on IDEAS

    as
    1. Ohnishi, Takaaki & Mizuno, Takayuki & Aihara, Kazuyuki & Takayasu, Misako & Takayasu, Hideki, 2004. "Statistical properties of the moving average price in dollar–yen exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 207-210.
    2. Takayuki Mizuno & Misako Takayasu & Hideki Takayasu, 2006. "Modeling a foreign exchange rate using moving average of Yen-Dollar market data," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 57-61, Springer.
    3. Takayasu, Misako & Mizuno, Takayuki & Takayasu, Hideki, 2006. "Potential force observed in market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 91-97.
    4. Misako Takayasu & Takayuki Mizuno & Takaaki Ohnishi & Hideki Takayasu, 2006. "Temporal characteristics of moving average of foreign exchange markets," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 29-32, Springer.
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    Cited by:

    1. Jean-Philippe Bouchaud & Damien Challet, 2016. "Why have asset price properties changed so little in 200 years," Papers 1605.00634, arXiv.org.
    2. Gao, Tingting & Chen, Yu, 2017. "A quantum anharmonic oscillator model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 307-314.
    3. Takumi Sueshige & Didier Sornette & Hideki Takayasu & Misako Takayasu, 2019. "Classification of position management strategies at the order-book level and their influences on future market-price formation," PLOS ONE, Public Library of Science, vol. 14(8), pages 1-19, August.

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