Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming Brownian market self-similarity, the market return  memory and autocorrelation functions are derived, which exhibit an oscillatory-decaying behavior and a long-time tail similar to the empirical observations .
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an oscillatory-decaying behavior with a long-time tail , similar to empirical observations. Individual stocks are also described via the generalized Langevin equation. They are classified by their relation to the market memory as heavy, neutral and light stocks, possessing different kinds of autocorrelation functions .
R
Brownian market
market Brownian
A
rate
R
and
with
R
similar to the empirical observations
, similar to empirical observations. Individual stocks are also described via the generalized Langevin equation. They are classified by their relation to the market memory as heavy, neutral and light stocks, possessing different kinds of autocorrelation functions