Long Memory in Finance and Fractional Brownian Motion(Financial and Consumer Markets,Econophysics-Physical Approach to Social and Economic Phenomena-)

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We present a mathematical model of the trade signs and trade volumes, and derive a fractional Brownian motion as a scaling limit of the signed volume process which describes a super-diffusive nature. In our model, we assume that traders place a market order at a single time or divide their order into two chunks and place orders at different times. When they divide their order into two chunks, the probability distribution of the time lag t of divided orders is assumed to decay as an inverse power law of t with exponent α. We obtain three types of scaling limit of the signed volume process according to the three cases of the value of α, (i) α<1, (ii) α=1, and (iii) α>1. (See Theorem 4.1.) We prove that a fractional Brownian motion having a super diffusive nature is obtained in a scaling limit of a signed volume process if and only if α<1.
理論物理学刊行会の論文
2009-05-22