Anticorrelations and subdiffusion in financial systems
<|reference_start|>Anticorrelations and subdiffusion in financial systems: Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. Anticorrelations of price returns, and subdiffusion of prices is found from the model, and and compared with those calculated from historical $/EURO exchange rates.<|reference_end|>
@article{staliunas2002anticorrelations,
    title={Anticorrelations and subdiffusion in financial systems},
    author={Kestutis Staliunas},
    journal={arXiv preprint arXiv:cond-mat/0203591},
    year={2002},
    archivePrefix={arXiv},
    eprint={cond-mat/0203591},
    primaryClass={cond-mat.dis-nn cond-mat.stat-mech cs.CE q-fin.ST}
}