The average behaviour of financial market by 2 scale homogenisation

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dc.creatorWojnar, R.
dc.date2006-08-18
dc.date.accessioned2026-07-07T12:07:50Z
dc.date.available2026-07-07T12:07:50Z
dc.descriptionThe financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a market in long terms, such as year intervals, is different from that in short terms. A diffusion equation with a time dependent diffusion coefficient that describes the fluctuations of the financial market, is subject to a two-scale homogenisation, and long term characteristics of the market such as mean behaviour of price and variance, are obtained. We indicate also that introduction of convolution into diffusion equation permits to obtain L- stable behaviour of finance.
dc.descriptionTo be published in Acta Phys. Pol. B
dc.identifierhttps://arxiv.org/abs/physics/0608191
dc.identifierhttp://arxiv.org/abs/physics/0608191
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209111
dc.subjectPhysics and Society
dc.subjectTrading and Market Microstructure
dc.titleThe average behaviour of financial market by 2 scale homogenisation
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