392 research outputs found
Analysis of price diffusion in financial markets using PUCK model
Based on the new type of random walk process called the Potentials of
Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price
diffusion in large scales is amplified 2/(2 + b) times, where b is the
coefficient of quadratic term of the potential. In short time scales the price
diffusion depends on the size M of the super moving average. Both numerical
simulations and real data analysis of Yen-Dollar rates are consistent with
theoretical analysis.Comment: 8 pages, 4 figures, Proceedings of APFA
Traders' strategy with price feedbacks in financial market
We introduce an autoregressive-type model of prices in financial market
taking into account the self-modulation effect. We find that traders are mainly
using strategies with weighted feedbacks of past prices. These feedbacks are
responsible for the slow diffusion in short times, apparent trends and power
law distribution of price changes.Comment: 4 pages, 5 figures, submitted to Physica
Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
We analyze high-resolution foreign exchange data consisting of 20 million
data points of USD-JPY for 13 years to report firm statistical laws in
distributions and correlations of exchange rate fluctuations. A conditional
probability density analysis clearly shows the existence of trend-following
movements at time scale of 8-ticks, about 1 minute.Comment: 6 pages, 7 figures, submitted to Physica
Correlation Networks Among Currencies
By analyzing the foreign exchange market data of various currencies, we
derive a hierarchical taxonomy of currencies constructing minimal-spanning
trees. Clustered structure of the currencies and the key currency in each
cluster are found. The clusters match nicely with the geographical regions of
corresponding countries in the world such as Asia or East Europe, the key
currencies are generally given by major economic countries as expected.Comment: 12 pages, 3 figures, 1 tabl
Extracting the exponential behaviors in the market data
We introduce a mathematical criterion defining the bubbles or the crashes in
financial market price fluctuations by considering exponential fitting of the
given data. By applying this criterion we can automatically extract the periods
in which bubbles and crashes are identified. From stock market data of
so-called the Internet bubbles it is found that the characteristic length of
bubble period is about 100 days.Comment: revtex4, 7 pages, 5 figures, proceedings of Apfa5 Conferenc
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