Basic peculiarities of market price fluctuations are known to be well described by a recently developed random-walk model in a temporally deforming quadratic potential force whose center is given by a moving average of past price traces [M. Takayasu, T. Mizuno, and H. Takayasu, Physica A 370, 91 (2006)]. By analyzing high-frequency financial time series of exceptional events, such as bubbles and crashes, we confirm the appearance of higher-order potential force in the markets. We show statistical significance of its existence by applying the information criterion. This time series analysis is expected to be applied widely for detecting a nonstationary symptom in random phenomena.

• Received 27 November 2008

DOI:https://doi.org/10.1103/PhysRevE.80.056110