Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes

DOI10.1016/S0378-4371(03)00592-2zbMath1056.91022arXivcond-mat/0210090MaRDI QIDQ1409101

Naoki Kozuki, Nobuko Fuchikami

Publication date: 5 October 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0210090

zbMATH Keywords

Brownian motionvolatilityTsallis distribution

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26) Foundations of time-dependent statistical mechanics (82C03)

Related Items (5)

Why \(q\)-expectation values must be used in nonextensive statistical mechanics ⋮ Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics ⋮ Optimal investment problem under non-extensive statistical mechanics ⋮ From short to fat tails in financial markets: a unified description ⋮ A statistical description for the quasi-stationary-states of the dipole-type Hamiltonian mean field model based on a family of Vlasov solutions

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• A STOCHASTIC CASCADE MODEL FOR FX DYNAMICS
• Introduction to Econophysics
• Scaling exponents in fully developed turbulence from nonextensive statistical mechanics
• Evidence of Markov properties of high frequency exchange rate data

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