| Issue |
EPL
Volume 102, Number 6, June 2013
|
|
|---|---|---|
| Article Number | 66003 | |
| Number of page(s) | 6 | |
| Section | Interdisciplinary Physics and Related Areas of Science and Technology | |
| DOI | https://doi.org/10.1209/0295-5075/102/66003 | |
| 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
(a) mwj@nccu.edu.tw
(b) huck@phys.sinica.edu.tw
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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