Random walker in temporally deforming higher-order potential forces observed in a financial crisis.
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random-walk model in a temporally deforming quadratic potential force whose center is given by a moving average of past price traces [M. Takayasu, T. Mizuno, and H. Takayasu, Physica A 370, 91 (2006)]. By analyzing high-frequency financial time series of exceptional events, such as bubbles and crashes, we confirm the appearance of higher-order potential force in the markets. We show statistical significance of its existence by applying the information criterion. This time series analysis is expected to be applied widely for detecting a nonstationary symptom in random phenomena.
Watanabe
Kota
K
Department of Computational Intelligence & Systems Science,Tokyo Institute of Technology, 4259-G3-52 Nagatsuta-cho, Midori-ku, Yokohama 226-8502, Japan. watanabe@smp.dis.titech.ac.jp
Takayasu
Hideki
H
Takayasu
Misako
M
D003132:Commerce; D004467:Economics; D005381:Financing, Organized; D006801:Humans; D018803:Models, Economic; D015233:Models, Statistical; D016011:Normal Distribution; D012309:Risk-Taking; D013997:Time Factors