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- W2034442010 abstract "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." @default.
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- W2034442010 date "2013-06-01" @default.
- W2034442010 modified "2023-10-16" @default.
- W2034442010 title "Crossover behavior of stock returns and mean square displacements of particles governed by the Langevin equation" @default.
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- W2034442010 doi "https://doi.org/10.1209/0295-5075/102/66003" @default.
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