Results
Title

Anticorrelations and Subdiffusion in Financial Systems.

Authors

Staliunas, K.

Abstract

Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. It is found that in a stable regime the noise power spectrum of the system is 1/f-like: ∝ ω[sup - 3/2] (where ω is the frequency), that the autocorrelation function of the increments of the variables (returns of prices) is negative and follows the power law: ∝ - τ[sup - 3/2] (where τ is the delay), and that the stochastic drift of the variables (prices, exchange rates) is subdiffusive: ∝ t[sup H] (where t is the time, H ≈ 1/4 is the Hurst, or self-similarity, exponent). These dependencies correspond to those calculated from historical $/EURO exchange rates.

Subjects

STATISTICAL correlation; LEAST squares; PROBABILITY theory; GRAPHIC methods in statistics; DIFFUSION

Publication

Advances in Complex Systems, 2003, Vol 6, Issue 2, p251

ISSN

0219-5259

Publication type

Academic Journal

DOI

10.1142/S0219525903000839