Non-extensive Behavior of a Stock Market Index at Microscopic Time Scales
arXiv:physics/0607167 · doi:10.1016/j.physa.2006.10.099
Abstract
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are measured over intervals less than one hour, the empirical distributions are well fitted by q-Gaussians with exponential damped tails. Scaling behavior is also observed for these microscopic time intervals. We find that the time evolution of the distributions is according to a super diffusive q-Gaussian stationary process within a nonlinear Fokker-Planck equation. This regime breaks down due to the exponential fall-off of the tails, which in turn, governs the transient dynamics to the long-term macroscopic Gaussian regime. Our results suggest that this modeling provides a framework for the description of the dynamics of stock markets intraday price fluctuations.
arXiv comment17 pages, 11 figures and 1 table
References in corpus (12)
- The statistical properties of the volatility of price fluctuations
- Anomalous diffusion in the presence of external forces: exact time-dependent solutions and entropy
- Scaling of the distribution of price fluctuations of individual companies
- Dynamical model and nonextensive statistical mechanics of a market index on large time windows
- Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact
- Scale-Dependent Price Fluctuations for the Indian Stock Market
- Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
- Financial multifractality and its subtleties: an example of DAX
- Non-extensive random walks
- Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes
- Modelling High-frequency Economic Time Series
- Multifractal Measures for the Yen-Dollar Exchange Rate
Cited by in corpus (9)
- Central limit behavior of deterministic dynamical systems
- A closer look at time averages of the logistic map at the edge of chaos
- Financial Return Distributions: Past, Present, and COVID-19
- Probability densities for the sums of iterates of the sine-circle map in the vicinity of the quasi-periodic edge of chaos
- Scale-invariance of human EEG signals in sleep
- Financial Market Dynamics: Superdiffusive or not?
- Asymmetric Tsallis distributions for modelling financial market dynamics
- Alternative way to characterize a q-gaussian distribution by a robust heavy tail measurement
- Evolving ab initio trading strategies in heterogeneous environments