Volume 102, Number 6, June 2013
|Number of page(s)||6|
|Section||Interdisciplinary Physics and Related Areas of Science and Technology|
|Published online||01 July 2013|
Crossover behavior of stock returns and mean square displacements of particles governed by the Langevin equation
1 Institute of Physics, Academia Sinica - Nankang, Taipei 11529, Taiwan
2 Graduate Institute of Applied Physics, National Chengchi University - Taipei, Taiwan
3 Department of Physics, National Chung-Hsin University - Taichung 400, Taiwan
4 Department of Physics, National Dong-Hua University - Hua-Lian, Taiwan
Received: 2 April 2013
Accepted: 31 May 2013
It is found that the mean square log-returns calculated from the high-frequency one-day moving average of US and Taiwan stocks with the time internal τ show ballistic behavior with the exponent for small τ and show diffusion-like behavior with the exponent 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.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 05.40.Jc – Brownian motion
© EPLA, 2013
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