Analysis of price diffusion in financial markets using PUCK model
Analysis of price diffusion in financial markets using PUCK model
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DOI：
10.1016/j.physa.2007.02.049
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发表时间：
2007-08-01
影响因子：
3.3
通讯作者：
Takayasu, Misako
中科院分区：
文献类型：
--
作者：
Mizuno, Takayuki;Takayasu, Hideki;Takayasu, Misako
基于一种新的随机游走过程--非平衡复杂动力学势(Puck)模型，我们从理论上证明了大尺度下的价格扩散被放大2(2+b)(-1)倍，其中b为势的二次项系数。在短时间尺度内，价格扩散取决于超级移动平均线的大小Alt。日元兑美元汇率的数值模拟和实际数据分析都与理论分析一致。(C)2007 Elsevier B.V.保留所有权利。
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 Alt of the super moving average. Both numerical simulations and real data analysis of Yen-Dollar rates are consistent with theoretical analysis. (C) 2007 Elsevier B.V. All rights reserved.