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https://ah.lib.nccu.edu.tw/handle/140.119/62211
題名: | Crossover behavior of stock returns and mean square displacements of particles governed by the Langevin equation | 作者: | 馬文忠 Ma, Wen-Jong ; Wang, Shih-Chieh ; Chen, Chi-Ning ; Hu, Chin-Kun |
貢獻者: | 應物所 | 日期: | 2013 | 上傳時間: | 6-Dec-2013 | 摘要: | It is found that the mean square log-returns calculated from the high-frequency oneday moving average of US and Taiwan stocks with the time internal τ show ballistic behavior θτα1 with the exponent α1 ≈ 2 for small τ and show diffusion-like behavior Dτα2 with the exponent α2 ≈ 1 for large τ . Such a crossover behavior can be well described by the mean square displacements of particles governed by the Langevin equation of motion. Thus, θ and D can be considered, respectively, as the temperature-like and diffusivity-like kinetic parameters of the market, and they can be used to characterize the behavior of the market. | 關聯: | Europhysics Letters, 102(6), 66003-p1-p6 | 資料類型: | article | DOI: | http://dx.doi.org/10.1209/0295-5075/102/66003 |
Appears in Collections: | 期刊論文 |
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