| CROSS-DISCIPLINARY PHYSICS AND RELATED AREAS OF SCIENCE AND TECHNOLOGY |
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Brownian Markets |
| Roumen Tsekov* |
Department of Physical Chemistry, University of Sofia, 1164 Sofia, Bulgaria
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Roumen Tsekov 2013 Chin. Phys. Lett. 30 088901 |
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Abstract Financial market dynamics are rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an oscillatory-decaying behavior with a long-time tail, similar to empirical observations. Individual stocks are also described via the generalized Langevin equation. They are classified by their relation to the market memory as heavy, neutral and light stocks, possessing different kinds of autocorrelation functions.
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Received: 20 May 2013
Published: 21 November 2013
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| PACS: |
89.65.Gh
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(Economics; econophysics, financial markets, business and management)
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05.40.-a
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(Fluctuation phenomena, random processes, noise, and Brownian motion)
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05.40.Jc
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(Brownian motion)
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