Takayasu, Misako; Mizuno, Takayuki; Takayasu, Hideki - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 91-97
As a model of market price, we introduce a new type of random walk in a moving potential, which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks are similar to those of ordinary random walks for large...