Anticorrelations and subdiffusion in financial systems
Kestutis Staliunas
TL;DR
This paper models financial systems using stochastic equations to reveal anticorrelations and subdiffusive behavior in price dynamics, comparing theoretical results with real exchange rate data.
Contribution
It introduces a stochastic coupled equation model that captures anticorrelations and subdiffusion in financial prices, validated against historical exchange rate data.
Findings
Anticorrelations observed in price returns
Subdiffusive behavior in price dynamics
Model aligns with historical exchange rate data
Abstract
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.
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Stochastic processes and financial applications · Statistical Mechanics and Entropy