Reaction-diffusion-branching models of stock price fluctuations

Lei Han TANG*, Guang Shan Tian

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

24 Citations (Scopus)


Several models of stock trading (Bak et al., Physica A 246 (1997) 430.) are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the short-time market price variation is subdiffusive with a Hurst exponent H=1/4. Biased diffusion towards the market price and blind-eyed copying lead to crossovers to the empirically observed random-walk behavior (H=1/2) at long times. The calculated crossover forms and diffusion constants are shown to agree well with simulation data.

Original languageEnglish
Pages (from-to)543-550
Number of pages8
JournalPhysica A: Statistical Mechanics and its Applications
Issue number3-4
Publication statusPublished - 1 Mar 1999

Scopus Subject Areas

  • Statistics and Probability
  • Condensed Matter Physics

User-Defined Keywords

  • 02.50.-r
  • 05.40.+j
  • 64.60.Ht
  • 82.20.-w


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