| dc.contributor | 應物所 | en_US |
| dc.creator (作者) | 馬文忠 | zh_TW |
| dc.creator (作者) | Ma, Wen-Jong ; Wang, Shih-Chieh ; Chen, Chi-Ning ; Hu, Chin-Kun | en_US |
| dc.date (日期) | 2013.06 | en_US |
| dc.date.accessioned | 6-Dec-2013 14:29:20 (UTC+8) | - |
| dc.date.available | 6-Dec-2013 14:29:20 (UTC+8) | - |
| dc.date.issued (上傳時間) | 6-Dec-2013 14:29:20 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/62211 | - |
| dc.description.abstract (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. | en_US |
| dc.format.extent | 1518546 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Europhysics Letters, 102(6), 66003-p1-p6 | en_US |
| dc.title (題名) | Crossover behavior of stock returns and mean square displacements of particles governed by the Langevin equation | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1209/0295-5075/102/66003 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1209/0295-5075/102/66003 | en_US |
