649 citations · 1.6k across the 50 of their papers we have counts for
4 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…
Hidden Forces and Fluctuations from Moving Averages: A Test Study
V. Alfi, F. Coccetti, M. Marotta +2
The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency…