arXiv:cond-mat/0203591 Abstract

arXiv:cond-mat/0203591Abstract References Reviews Resources

Anticorrelations and subdiffusion in financial systems

Published 2002-03-28Version 1

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.

Categories: cond-mat.dis-nn, cond-mat.stat-mech, cs.CE, q-fin.ST

Keywords: financial systems, subdiffusion, anticorrelations, randomly coupled equation system driven, stochastic langevin force

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