Theoretical analysis of potential forces in markets |
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| Authors: | Misako Takayasu Takayuki Mizuno |
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| Institution: | a Department 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
b Sony Computer Science Laboratories, 3-14-13 Higashigotanda, Shinagawa-ku, Tokyo 141-0022, Japan |
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| Abstract: | We show that random walks in a moving potential function, with its center at the moving average of market prices, are represented in the form of the self-modulation model. From this point of view we confirm the existence of non-trivial autocorrelation in real market price changes. By generalizing the formulation of potential function we prove that the ARCH model belongs to the special case of random walk in an asymmetric potential with randomly changing coefficient. |
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| Keywords: | 89 65 Gh 05 40 &minus a 05 45 Fb |
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