arXiv
Open Access
2019
Q-Gaussian diffusion in stock markets
Alonso-Marroquin Fernando
Arias-Calluari Karina
Harre Michael
Najafi Morteza N.
Herrmann Hans J
Abstrak
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.
Topik & Kata Kunci
Penulis (5)
A
Alonso-Marroquin Fernando
A
Arias-Calluari Karina
H
Harre Michael
N
Najafi Morteza N.
H
Herrmann Hans J
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2019
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- en
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- arXiv
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- Open Access ✓