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Potentials of Unbalanced Complex Kinetics Observed in Market Time Series

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  • Misako Takayasu
  • Takayuki Mizuno
  • Hideki Takayasu

Abstract

As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks are similar to those of ordinary random walks for large time scales; however, their short time properties are approximated by abnormal diffusion with non-trivial exponents. A new data analysis method based on this model enables us to observe temporal changes of potential forces from high precision market data directly.

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  • Misako Takayasu & Takayuki Mizuno & Hideki Takayasu, 2005. "Potentials of Unbalanced Complex Kinetics Observed in Market Time Series," Papers physics/0509020, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0509020
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    1. Smith, Adam, 1776. "An Inquiry into the Nature and Causes of the Wealth of Nations," History of Economic Thought Books, McMaster University Archive for the History of Economic Thought, number smith1776.
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    Cited by:

    1. Alfi, V. & De Martino, A. & Pietronero, L. & Tedeschi, A., 2007. "Detecting the traders’ strategies in minority–majority games and real stock-prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 1-8.

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