英文标题：
《Diffusive and arrested-like dynamics in currency exchange markets》
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作者：
Joaquim Clara-Rahola, Antonio M. Puertas, Miguel Angel
  Sanchez-Granero, Juan E. Trinidad-Segovia and F.Javier de las Nieves
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最新提交年份：
2017
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英文摘要：
  This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative symmetry between fluctuation distributions from this market and the ones belonging to colloidal particles in supercooled or arrested states. In particular, we find that models used for arrested physical systems are suitable for describing the EURUSD fluctuation distributions. Whereas the corresponding mean squared price displacement (MSPD) to the EURUSD is diffusive for all years, when focusing in selected time frames within a day, we find a two-step MSPD when the New York Stock Exchange market closes, comparable to the dynamics in supercooled systems. This is corroborated by looking at the price correlation functions and non-Gaussian parameters, and can be described by the theoretical model. We discuss the origin and implications of this analogy.
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中文摘要：
这项工作研究了胶体动力学和欧元-美元货币兑换市场（EURUSD）动力学之间的对称性。我们考虑了2001年至2015年期间的欧元兑美元价格，我们发现该市场的波动分布与属于过冷或停滞状态胶体粒子的波动分布之间存在显著的定性对称性。特别是，我们发现用于停滞物理系统的模型适合描述欧元兑美元波动分布。尽管欧元兑美元的相应均方价格位移（MSPD）在所有年份都是扩散的，但当集中在一天内选定的时间框架内时，我们发现纽约证券交易所市场收盘时会出现两步MSPD，与过冷系统中的动态相比较。通过观察价格相关函数和非高斯参数可以证实这一点，并且可以用理论模型来描述。我们讨论这个类比的起源和含义。
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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：Soft Condensed Matter        软凝聚态物质
分类描述：Membranes, polymers, liquid crystals, glasses, colloids, granular matter
膜，聚合物，液晶，玻璃，胶体，颗粒物质
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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