Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market

DOI10.1007/s10955-013-0783-zzbMath1278.91115OpenAlexW2074504104MaRDI QIDQ372927

Joshin Murai, Koji Kuroda, Jun-ichi Maskawa

Publication date: 21 October 2013

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-013-0783-z

zbMATH Keywords

fractional Brownian motionscaling limitlong memorycluster expansion

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial applications of other theories (91G80) Classical equilibrium statistical mechanics (general) (82B05)

Cites Work

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