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Analysis of price diffusion in financial markets using PUCK model

✍ Scribed by Takayuki Mizuno; Hideki Takayasu; Misako Takayasu

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
184 KB
Volume
382
Category
Article
ISSN
0378-4371

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✦ Synopsis

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 2Γ°2 ΓΎ bÞ Γ€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.

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