تقرير
Q-Gaussian diffusion in stock markets
| العنوان: | Q-Gaussian diffusion in stock markets |
|---|---|
| المؤلفون: | Fernando, Alonso-Marroquin, Karina, Arias-Calluari, Michael, Harre, N., Najafi Morteza, J, Herrmann Hans |
| سنة النشر: | 2019 |
| المجموعة: | Quantitative Finance |
| مصطلحات موضوعية: | Quantitative Finance - Statistical Finance, 82C05 and 82C31 |
| الوصف: | We analyze the Standard & Poor's 500 stock market index from the last 22 years. The probability density function of price returns exhibits two well-distinguished regimes with self-similar structure: the first one displays strong super-diffusion together with short-time correlations, and the second one corresponds to weak super-diffusion with weak time correlations. Both regimes are well-described by q-Gaussian distributions. The porous media equation is used to derive the governing equation for these regimes, and the Black-Scholes diffusion coefficient is explicitly obtained from the governing equation. Comment: Field of study: Condensed-matter physics, 5 pages and 4 figures |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/1902.10500 |
| رقم الأكسشن: | edsarx.1902.10500 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |