Random walker in a temporally deforming higher-order potential forces observed in financial crisis
Statistical Finance
2013-05-29 v2 Data Analysis, Statistics and Probability
Physics and Society
General Finance
Abstract
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces [Physica A 370, pp91-97, 2006]. By analyzing high-frequency financial time series of exceptional events such as bubbles and crashes, we confirm the appearance of nonlinear potential force in the markets. We show statistical significance of its existence by applying the information criterion. This new time series analysis is expected to be applied widely for detecting a non-stationary symptom in random phenomena.
Keywords
Cite
@article{arxiv.0808.3339,
title = {Random walker in a temporally deforming higher-order potential forces observed in financial crisis},
author = {Kota Watanabe and Hideki Takayasu and Misako Takayasu},
journal= {arXiv preprint arXiv:0808.3339},
year = {2013}
}
Comments
5 pages, 13 figures