Takayasu, Misako; Mizuno, Takayuki; Takayasu, Hideki - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 115-119
We show that random walks in a moving potential function, with its center at the moving average of market prices, are represented in the form of the self-modulation model. From this point of view we confirm the existence of non-trivial autocorrelation in real market price changes. By...