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Random walker in temporally deforming higher-order potential forces observed in a financial crisis

Kota Watanabe1,*, Hideki Takayasu2, and Misako Takayasu1

  • 1Department of Computational Intelligence & Systems Science, Interdisciplinary Graduate School of Science & Engineering, Tokyo Institute of Technology, 4259-G3-52 Nagatsuta-cho, Midori-ku, Yokohama 226-8502, Japan
  • 2Sony Computer Science Laboratories Inc., 3-14-13 Higashigotanda, Shinagawa-ku, Tokyo 141-0022, Japan

  • *watanabe@smp.dis.titech.ac.jp
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Phys. Rev. E 80, 056110 – Published 19 November, 2009

DOI: https://doi.org/10.1103/PhysRevE.80.056110

Abstract

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.

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Phys. Rev. E 80, 056110– Published 19 November, 2009
  • Received 27 November 2008

© 2009 American Physical Society

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