On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics
Abstract
Description
In this paper one studies the distribution of log-returns (tick-by-tick) in the Lisbon stock market and shows that it is well adjusted by the solution of the equation, {$\frac{dp_{x}}{d| x|}=-β_{q^{\prime }}p_{x}^{q^{\prime}}-(β_{q}-β_{q^{\prime}}) p_{x}^{q}$}, which corresponds to a generalization of the differential equation which has as solution the power-laws that optimise the entropic form $S_{q}=-k \frac{1-\int p_{x}^{q} dx}{1-q}$, base of present non-extensive statistical mechanics.
To appear in Physica A - "Proceedings of Applications of Physics to Financial Analysis 4", 5 pages, 1 figures
To appear in Physica A - "Proceedings of Applications of Physics to Financial Analysis 4", 5 pages, 1 figures