Random walker in temporally deforming higher-order potential forces observed in a financial crisis

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 80, Issue 5, 2009, Pages

  Watanabe, Kota ^a   Takayasu, Hideki ^b   Takayasu, Misako ^a  

^a TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

^b SONY COMPUTER SCIENCE LABORATORIES INC   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EXCEPTIONAL EVENTS; FINANCIAL CRISIS; FINANCIAL TIME SERIES; HIGH FREQUENCY HF; HIGHER ORDER; INFORMATION CRITERION; MARKET PRICE; MOVING AVERAGES; NONSTATIONARY; POTENTIAL FORCES; RANDOM WALK MODELS; RANDOM WALKERS; STATISTICAL SIGNIFICANCE;

DEFORMATION; DEGREES OF FREEDOM (MECHANICS); FINANCIAL DATA PROCESSING; TIME SERIES;

TIME SERIES ANALYSIS;

EID: 71449120678     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.80.056110     Document Type: Article

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