Random walker in a temporally deforming higher-order potential forces observed in financial crisis

Details Random walker in a temporally deforming higher-order potential forces observed in financial crisis Random walker in a temporally deforming higher-order potential forces observed in financial crisis

2008-08-25

arxiv.org/abs/0808.3339v2

Economy

Quantitative Finance

Statistical Finance

5 pages, 13 figures

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

Random walker in a temporally deforming higher-order potential forces observed in financial crisis does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Random walker in a temporally deforming higher-order potential forces observed in financial crisis, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Random walker in a temporally deforming higher-order potential forces observed in financial crisis will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-380570