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Anticorrelations And Subdiffusion In Financial Systems

Author

Listed:
  • K. STALIUNAS

    (Vilnius University, Sauletekio al.9 korp.3, 2040 Vilnius, Lithuania;
    PTB Braunschweig, Bundesallee 100, 38116 Braunschweig, Germany)

Abstract

Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. It is found that in a stable regime the noise power spectrum of the system is1/f-like:∝ ω- 3/2(where ω is the frequency), that the autocorrelation function of the increments of the variables (returns of prices) is negative and follows the power law:∝ - τ- 3/2(where τ is the delay), and that the stochastic drift of the variables (prices, exchange rates) is subdiffusive:∝ tH(wheretis the time,H ≈ 1/4is the Hurst, or self-similarity, exponent). These dependencies correspond to those calculated from historical $/EURO exchange rates.

Suggested Citation

  • K. Staliunas, 2003. "Anticorrelations And Subdiffusion In Financial Systems," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 251-262.
    • Handle: RePEc:wsi:acsxxx:v:06:y:2003:i:02:n:s0219525903000839
    DOI: 10.1142/S0219525903000839
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