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Potential force observed in market dynamics

Author

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  • Takayasu, Misako
  • Mizuno, Takayuki
  • Takayasu, Hideki

Abstract

As 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 nontrivial 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.

Suggested Citation

  • Takayasu, Misako & Mizuno, Takayuki & Takayasu, Hideki, 2006. "Potential force observed in market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 91-97.
    • Handle: RePEc:eee:phsmap:v:370:y:2006:i:1:p:91-97
    DOI: 10.1016/j.physa.2006.04.041
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    Citations

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    Cited by:

    1. Alessio Emanuele Biondo, 2020. "Information versus imitation in a real-time agent-based model of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 613-631, July.
    2. Alessio Emanuele Biondo, 2018. "Order book microstructure and policies for financial stability," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 35(1), pages 196-218, March.
    3. Alessio Emanuele Biondo, 2019. "Order book modeling and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 469-489, September.
    4. Biondo, Alessio Emanuele, 2017. "Learning to forecast, risk aversion, and microstructural aspects of financial stability," Economics Discussion Papers 2017-104, Kiel Institute for the World Economy (IfW Kiel).
    5. V. Alfi & L. Pietronero & A. Zaccaria, 2008. "Minimal Agent Based Model For The Origin And Self-Organization Of Stylized Facts In Financial Markets," Papers 0807.1888, arXiv.org.
    6. Schmidhuber, Christof, 2021. "Trends, reversion, and critical phenomena in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    7. Biondo, Alessio Emanuele, 2018. "Learning to forecast, risk aversion, and microstructural aspects of financial stability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-21.
    8. Sandro Claudio Lera & Didier Sornette, 2015. "Currency target zone modeling: An interplay between physics and economics," Papers 1508.04754, arXiv.org, revised Oct 2015.
    9. Gao, Tingting & Chen, Yu, 2017. "A quantum anharmonic oscillator model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 307-314.
    10. Schmidhuber, Christof, 2022. "Financial markets and the phase transition between water and steam," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 592(C).
    11. Mizuno, Takayuki & Takayasu, Hideki & Takayasu, Misako, 2007. "Analysis of price diffusion in financial markets using PUCK model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 187-192.

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