Financial Market Dynamics

Simple item page
dc.creatorMichael, Fredrick
dc.creatorJohnson, M. D.
dc.date2001-08-01
dc.date.accessioned2026-07-07T12:06:35Z
dc.date.available2026-07-07T12:06:35Z
dc.descriptionDistributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions and superdiffusive dynamics. We investigate intra-day price changes in the S&P500 stock index within this framework by direct analysis and by simulation. We find that the power-law tails of the distributions, and the index's anomalously diffusing dynamics, are very accurately described by this approach. Our results show good agreement between market data, Fokker-Planck dynamics, and simulation. Thus the combination of the Tsallis non-extensive entropy and the nonlinear Fokker-Planck equation unites in a very natural way the power-law tails of the distributions and their superdiffusive dynamics.
dc.description8 pages, 2 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0108017
dc.identifierhttp://arxiv.org/abs/cond-mat/0108017
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208697
dc.subjectStatistical Mechanics
dc.subjectDisordered Systems and Neural Networks
dc.subjectStatistical Finance
dc.titleFinancial Market Dynamics
dc.typetext

Files

Collections

arXiv