dorsal/arxiv
View SchemaPotentials of Unbalanced Complex Kinetics Observed in Market Time Series
| Authors | Misako Takayasu, Takayuki Mizuno, Hideki Takayasu |
|---|---|
| Categories | |
| ArXiv ID | physics/0509020 |
| URL | https://arxiv.org/abs/physics/0509020 |
Abstract
As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks are similar to those of ordinary random walks for large time scales; however, their short time properties are approximated by abnormal diffusion with non-trivial exponents. A new data analysis method based on this model enables us to observe temporal changes of potential forces from high precision market data directly.
{
"annotation_id": "5248a6e8-2efb-42bd-8287-d03861fc3af7",
"date_created": "2026-03-02T18:01:00.911000Z",
"date_modified": "2026-03-02T18:01:00.911000Z",
"file_hash": "340b72ffb7f446dd10cff4e44b45c78e9d79d696e7d81a55d29b49a09a0175c5",
"private": false,
"record": {
"abstract": "As a model of market price, we introduce a new type of random walk in a\nmoving potential which is approximated by a quadratic function with its center\ngiven by the moving average of its own trace. The properties of resulting\nrandom walks are similar to those of ordinary random walks for large time\nscales; however, their short time properties are approximated by abnormal\ndiffusion with non-trivial exponents. A new data analysis method based on this\nmodel enables us to observe temporal changes of potential forces from high\nprecision market data directly.",
"arxiv_id": "physics/0509020",
"authors": [
"Misako Takayasu",
"Takayuki Mizuno",
"Hideki Takayasu"
],
"categories": [
"physics.soc-ph",
"physics.data-an",
"q-fin.ST"
],
"title": "Potentials of Unbalanced Complex Kinetics Observed in Market Time Series",
"url": "https://arxiv.org/abs/physics/0509020"
},
"schema_id": "dorsal/arxiv",
"source": {
"execution_id": "fdc3a309-87e6-4a63-86a2-bab333f8d68f",
"id": "arXiv Dataset IDs",
"type": "Model",
"variant": "snapshot-2026-03-01",
"version": "0.1.0"
},
"user_id": 1000002
}