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政大機構典藏 > 理學院 > 應用物理研究所 > 期刊論文 > Item 140.119/62211

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/62211

Title:	Crossover behavior of stock returns and mean square displacements of particles governed by the Langevin equation
Authors:	馬文忠 Ma, Wen-Jong;Wang, Shih-Chieh;Chen, Chi-Ning;Hu, Chin-Kun
Contributors:	應物所
Date:	2013.06
Issue Date:	2013-12-06 14:29:20 (UTC+8)
Abstract:	It is found that the mean square log-returns calculated from the high-frequency oneday moving average of US and Taiwan stocks with the time internal τ show ballistic behavior θτα1 with the exponent α1 ≈ 2 for small τ and show diffusion-like behavior Dτα2 with the exponent α2 ≈ 1 for large τ . Such a crossover behavior can be well described by the mean square displacements of particles governed by the Langevin equation of motion. Thus, θ and D can be considered, respectively, as the temperature-like and diffusivity-like kinetic parameters of the market, and they can be used to characterize the behavior of the market.
Relation:	Europhysics Letters, 102(6), 66003-p1-p6
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1209/0295-5075/102/66003
DOI:	10.1209/0295-5075/102/66003
Appears in Collections:	[應用物理研究所 ] 期刊論文

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