Anticorrelations and subdiffusion in financial systems
Disordered Systems and Neural Networks
2008-12-02 v1 Statistical Mechanics
Computational Engineering, Finance, and Science
Statistical Finance
Abstract
Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. Anticorrelations of price returns, and subdiffusion of prices is found from the model, and and compared with those calculated from historical $/EURO exchange rates.
Cite
@article{arxiv.cond-mat/0203591,
title = {Anticorrelations and subdiffusion in financial systems},
author = {Kestutis Staliunas},
journal= {arXiv preprint arXiv:cond-mat/0203591},
year = {2008}
}