25 citations · 65 across the 4 of their papers we have counts for
7 papers · 1 filter
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…
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…
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…
Potentials of Unbalanced Complex Kinetics Observed in Market Time Series
Misako Takayasu, Takayuki Mizuno, Hideki Takayasu
As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average o…
Correlation Networks Among Currencies
Takayuki Mizuno, Hideki Takayasu, Misako Takayasu
By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the…
Modeling a foreign exchange rate using moving average of Yen-Dollar market data
Takayuki Mizuno, Misako Takayasu, Hideki Takayasu
We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorre…