Long memory in trade signs and short memory in stock prices

Koji Kuroda, Jun Ichi Maskawa, Joshin Murai

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

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.

Original languageEnglish
Pages (from-to)11-27
Number of pages17
JournalProgress of Theoretical Physics Supplement
Issue number194
DOIs
Publication statusPublished - 2012

ASJC Scopus subject areas

  • Physics and Astronomy (miscellaneous)

Fingerprint

Dive into the research topics of 'Long memory in trade signs and short memory in stock prices'. Together they form a unique fingerprint.

Cite this