2002/03/28 by Staliunas, Kestutis
#Computational Engineering #Disordered Systems and Neural Networks (cond-mat.dis-nn) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Physical sciences #Finance #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech) #and Science (cs.CE)
paper · doi:10.48550/arxiv.cond-mat/0203591
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.