Dynamical Stochastic Processes of Returns in Financial Markets

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

We study the evolution of probability distribution functions of returns, from the tick data of the Korean treasury bond (KTB) futures and the S$&$P 500 stock index, which can be described by means of the Fokker-Planck equation. We show that the Fokker-Planck equation and the Langevin equation from the estimated Kramers-Moyal coefficients are estimated directly from the empirical data. By analyzing the statistics of the returns, we present quantitatively the deterministic and random influences on financial time series for both markets, for which we can give a simple physical interpretation. We particularly focus on the diffusion coefficient that may be significantly important for the creation of a portfolio.
5 pages, 9 figures

Keywords

Physics and Society, Statistical Finance

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/209057

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0512216
 http://arxiv.org/abs/physics/0512216

Collections

arXiv