Potentials of Unbalanced Complex Kinetics Observed in Market Time Series

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dc.creatorTakayasu, Misako
dc.creatorMizuno, Takayuki
dc.creatorTakayasu, Hideki
dc.date2005-09-02
dc.date.accessioned2026-07-07T12:07:38Z
dc.date.available2026-07-07T12:07:38Z
dc.descriptionAs 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.
dc.description18 pages, 8 figures
dc.identifierhttps://arxiv.org/abs/physics/0509020
dc.identifierhttp://arxiv.org/abs/physics/0509020
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209037
dc.subjectPhysics and Society
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titlePotentials of Unbalanced Complex Kinetics Observed in Market Time Series
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