摘要翻译：
通过精确的广义朗之万方程对金融市场动力学进行了严格的研究。假设市场具有布朗自相似性，得到了市场收益率记忆函数和自相关函数，它们表现出与经验观测相似的具有长时间尾部的振荡衰减行为。个股也是通过广义朗之万方程来描述的。根据它们与市场记忆的关系，将它们分为重股、中性股和轻股，具有不同种类的自相关函数。
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英文标题：
《Brownian markets》
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作者：
R. Tsekov
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Statistical Mechanics        统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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英文摘要：
  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.
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PDF链接：
https://arxiv.org/pdf/1010.2061