Anticorrelations and subdiffusion in financial systems

Details Anticorrelations and subdiffusion in financial systems Anticorrelations and subdiffusion in financial systems

2002-03-28

arxiv.org/abs/cond-mat/0203591v1

Physics

Condensed Matter

Disordered Systems and Neural Networks

Scientific paper

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.

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