Long Memory in Trade Signs and Short Memory in Stock Prices(Financial and Consumer Markets,Proceedings of the YITP Workshop on Econophysics,Econophysics 2011-The Hitchhiker's Guide to the Economy-) :

• Koji Kuroda

• Jun-ichi Maskawa

• Joshin Murai

Bibliographic Information

Other Title

• Long Memory in Trade Signs and Short Memory in Stock Prices

Abstract

We consider a mathematical model for stock markets and derive a signed volume process having a long memory property and a stock price process having a short memory property. Using the method of cluster expansion developed in the study of phase transitions, we describe our results about scale limits of the processes by using Brownian motion and fractional Brownian motion, which is known as a stochastic process having a long memory property.

Journal

• Progress of Theoretical Physics Supplement

  Progress of Theoretical Physics Supplement 194 11-27, 2012

  Oxford University Press (OUP)

Keywords

• Physics and Astronomy (miscellaneous)

Details

• CRID: 1360284921854915712
• NII Article ID: 110009456867
• NII Article ID: 210000129106
• NII Book ID: AA00791466
• DOI: 10.1143/ptps.194.11
• ISSN: 03759687
• Web Site: http://academic.oup.com/ptps/article-pdf/doi/10.1143/PTPS.194.11/5186933/194-11.pdf
• Web Site: http://dl.ndl.go.jp/info:ndljp/pid/10887518
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