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News from application of the Mittag-Leffler function to house and financial markets

Ryszard Kutner ,  Marzena Kozłowska 

Warsaw University, Faculty of Physics, Hoża 69, Warszawa 00-681, Poland


We consider current speculative bubbles and crashes on US-house market and different stock markets. We found that both rising and falling paths of local peaks are well described by a generalized exponential function or the Mittag-Leffler (ML) one superposed with various types of oscillations. We found that this function is a solution of the nonhomogeneous fractional relaxation equation applied independently to each path, which defines our Rheological Market Model Dynamics. The model is an analog of the one which describes nonexponential relaxation of some viscoelastic materials (biopolimers).


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Related papers

Presentation: Oral at 4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Ryszard Kutner
See On-line Journal of 4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2009-03-09 18:49
Revised:   2009-06-07 00:48