Langevin dynamics of financial systems: a second-order analysis
arXiv:cond-mat/0104412 · doi:10.1007/PL00011127
Abstract
We address the issue of stock market fluctuations within Langevin Dynamics (LD) and the thermodynamics definitions of multifractality in order to study its second-order characterization given by the analogous specific heat C_{q}, where q is an analogous temperature relating the moments of the generating partition function for the financial data signals. Due to non-linear and additive noise terms within the LD, we found that C_{q} can display a shoulder to the right of its main peak as also found in the S&P500 historical data which may resemble a classical phase transition at a critical point.
LaTex, 4 PostScript figures; To appear EJP-B