# Analysis of price diffusion in financial markets using PUCK model

Source: [Analysis of price diffusion in financial markets using PUCK model](<https://www.sota2.com/research/paper/68fa27ad2c2a3760193c4250>)

Collection index: [llms.txt](<https://www.sota2.com/research/llms.txt>)

Data updated: 2025-10-24T12:05:06.171Z

Authors: Takayuki Mizuno, Hideki Takayasu, Misako Takayasu

Published: 2006-08-10T12:45:28.000Z

## Abstract

Based on the new type of random walk process called the Potentials of Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is amplified 2/(2 + b) times, where b is the coefficient of quadratic term of the potential. In short time scales the price diffusion depends on the size M of the super moving average. Both numerical simulations and real data analysis of Yen-Dollar rates are consistent with theoretical analysis.

## Recorded benchmark results

A research result applies to its stated dataset, split, metric and evaluation configuration. Compare like-for-like settings, preserve the metric's unit and direction, and distinguish paper-reported results from independent reproduction. The best result recorded here is not a claim of exhaustive, current global coverage.

## Original sources and implementation

[Original paper](<https://arxiv.org/abs/physics/0608115>)

[PDF](<https://arxiv.org/pdf/physics/0608115.pdf>)