Local and Non-local Fractional Porous Media Equations
Abstract
Recently it was observed that the probability distribution of the price return in S\&P500 can be modeled by -Gaussian distributions, where various phases (weak, strong super diffusion and normal diffusion) are separated by different fitting parameters (Phys Rev. E 99, 062313, 2019). Here we analyze the fractional extensions of the porous media equation and show that all of them admit solutions in terms of generalized -Gaussian functions. Three kinds of "fractionalization" are considered: \textit{local}, referring to the situation where the fractional derivatives for both space and time are local; \textit{non-local}, where both space and time fractional derivatives are non-local; and \textit{mixed}, where one derivative is local, and another is non-local. Although, for the \textit{local} and \textit{non-local} cases we find -Gaussian solutions , they differ in the number of free parameters. This makes differences to the quality of fitting to the real data. We test the results for the S\&P 500 price return and found that the local and non-local schemes fit the data better than the classic porous media equation.
Keywords
Cite
@article{arxiv.2010.06306,
title = {Local and Non-local Fractional Porous Media Equations},
author = {Fatemeh Gharari and Karina Arias-Calluari and Fernando Alonso-Marroquin and Morteza. N. Najafi},
journal= {arXiv preprint arXiv:2010.06306},
year = {2020}
}