Anticorrelations and subdiffusion in financial systems
classification
❄️ cond-mat.dis-nn
cond-mat.stat-mechcs.CEq-fin.ST
keywords
anticorrelationsfinancialmodelsubdiffusionsystemscalculatedcomparedcoupled
read the original abstract
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.
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