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20062009
most citedAnalysis of price diffusion in financial markets using PUCK model

25 citations

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Showing 2006 · physics.soc-phShow all

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physics.soc-ph2006★ 25 cited

Analysis of price diffusion in financial markets using PUCK model

Takayuki Mizuno, Hideki Takayasu, Misako Takayasu

Based on the new type of random walk process called the Potentials of Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is am…

physics.soc-ph2006★ 19 cited

Characterization of foreign exchange market using the threshold-dealer-model

Kenta Yamada, Hideki Takayasu, Misako Takayasu

We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, long term memory of volatility and non-P…

physics.soc-ph2006★ 16 cited

Extracting the exponential behaviors in the market data

Kota Watanabe, Hideki Takayasu, Misako Takayasu

We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying t…