{
  "id": "cond-mat/0210090",
  "version": "v1",
  "published": "2002-10-04T05:06:40.000Z",
  "updated": "2002-10-04T05:06:40.000Z",
  "title": "Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes",
  "authors": [
    "Naoki Kozuki",
    "Nobuko Fuchikami"
  ],
  "comment": "9 pages including 2 figures",
  "doi": "10.1016/S0378-4371(03)00592-2",
  "categories": [
    "cond-mat.stat-mech",
    "q-fin.ST"
  ],
  "abstract": "We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential, where the `temperature' fluctuates slowly. The model generally yields a fat-tailed distribution of the price change. Specifically a Tsallis distribution is obtained if the inverse temperature is $\\chi^{2}$-distributed, which qualitatively agrees with intraday data of foreign exchange market. The so-called `volatility', a quantity indicating the risk or activity in financial markets, corresponds to the temperature of markets and its fluctuation leads to intermittency.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2002-10-04T05:06:40.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "financial markets",
      "price change",
      "intermittent behavior",
      "dynamical model",
      "foreign exchange market"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 9,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}