Potentials of Unbalanced Complex Kinetics Observed in Market Time Series

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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.
18 pages, 8 figures

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Physics and Society, Data Analysis, Statistics and Probability, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/209037

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0509020
 http://arxiv.org/abs/physics/0509020

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arXiv