Long Memory in Trade Signs and Short Memory in Stock Prices

被引：0

作者：

Kuroda, Koji ^{[1
]}

Maskawa, Jun-ichi ^{[2
]}

Murai, Joshin ^{[3
]}

机构：

[1] Nihon Univ, Grad Sch Integrated Basic Sci, Tokyo 1568550, Japan

[2] Seijo Univ, Dept Econ, Tokyo 1578511, Japan

[3] Okayama Univ, Grad Sch Humanities & Social Sci, Okayama 7008530, Japan

来源：

PROGRESS OF THEORETICAL PHYSICS SUPPLEMENT | 2012年 / 194期

关键词：

PHASE-SEPARATION; LIMIT-THEOREMS; MARKET; FLUCTUATIONS;

D O I：

暂无

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We consider a mathematical model for stock markets and derive a signed volume process having a long memory property and a stock price process having a short memory property. Using the method of cluster expansion developed in the study of phase transitions, we describe our results about scale limits of the processes by using Brownian motion and fractional Brownian motion, which is known as a stochastic process having a long memory property.

引用

页码：11 / 27

页数：17

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