Q-Gaussian diffusion in stock markets
Statistical Finance
2019-02-28 v1
Abstract
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.
Cite
@article{arxiv.1902.10500,
title = {Q-Gaussian diffusion in stock markets},
author = {Alonso-Marroquin Fernando and Arias-Calluari Karina and Harre Michael and Najafi Morteza N. and Herrmann Hans J},
journal= {arXiv preprint arXiv:1902.10500},
year = {2019}
}
Comments
Field of study: Condensed-matter physics, 5 pages and 4 figures