Observation of Two Types of Behaviors of Financial Bubbles and the Related Higher-Order Potential Forces(Financial and Consumer Markets,Econophysics-Physical Approach to Social and Economic Phenomena-)

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Abstract

Market prices are known to be well described by the random walk model in a time-dependent potential force whose center is given by the trace of the random walker [Physica A 370 (2006), 91]. We analytically show that the higher-order potential force determines the dynamic price behaviors of the single-exponential growth and the double exponential growth. We confirm the existence of such price behaviors in real financial data and we observe the higher-order potential forces in some periods.

Journal

Progress of theoretical physics. Supplement   [List of Volumes]

Progress of theoretical physics. Supplement (179), 8-16, 2009-05-22  [Table of Contents]

The Physical Society of Japan (JPS)

References:  21

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Codes

  • NII Article ID (NAID) :
    110007225738
  • NII NACSIS-CAT ID (NCID) :
    AA00791466
  • Text Lang :
    ENG
  • Article Type :
    ART
  • ISSN :
    03759687
  • NDL Article ID :
    10225408
  • NDL Source Classification :
    ZM35(科学技術--物理学)
  • NDL Call No. :
    Z53-A468
  • Databases :
    CJP  NDL  NII-ELS