Dynamical model of financial markets: Fluctuating 'temperature' causes intermittent behavior of price changes

Physica A: Statistical Mechanics and its Applications

Volumn 329, Issue 1-2, 2003, Pages 222-230

  Kozuki, Naoki ^a   Fuchikami, Nobuko ^b  

^a HITACHI HIGH TECHNOLOGIES CORPORATION   (Japan)

^b TOKYO METROPOLITAN UNIVERSITY   (Japan)

Author keywords

2 distribution; Brownian motion; Foreign exchange market; Tsallis distribution; Volatility

Indexed keywords

BROWNIAN MOVEMENT; THERMAL EFFECTS; TURBULENT FLOW;

FINANCIAL MARKETS;

FINANCE;

EID: 0141989985     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(03)00592-2     Document Type: Article

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