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Dynamical Model of Financial Markets: Fluctuating ‘Temperature’ Causes Intermittent Behavior of Price Changes by Naoki Kozuki; Nobuko Fuchikami is a Physics and Astronomy article available to read on EtoBox.
What is Dynamical Model of Financial Markets: Fluctuating ‘Temperature’ Causes Intermittent Behavior of Price Changes about?
We present a model of ÿnancial markets originally proposed for a turbulent ow, 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' uctuates slowly. The model generally yields a fat-tailed distribution of the price change. Speciÿcally a Tsallis distribution is obtained if the inverse temperature is 2 -distributed, which qualitatively agrees with intraday data of foreign exchange market. The so-called 'volatility', a quantity indicating the risk or activity in ÿnancial markets, corresponds to the temperature of markets and its uctuation leads to intermittency.
Who reads Dynamical Model of Financial Markets: Fluctuating ‘Temperature’ Causes Intermittent Behavior of Price Changes?
It is typically read by researchers, students, and practitioners in Physics and Astronomy.
- Author
- Naoki Kozuki; Nobuko Fuchikami
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0378-4371)
- Published
- 2003
- Language
- EN
- Field
- Physics and Astronomy (Physical Sciences)