Physics NotePublished
On the connection between nonextensivity and financial markets, A Langevin and Fokker-Planck analysis
Sílvio M. Duarte Queirós
Publication details
- Authors
- Sílvio M. Duarte Queirós
- Type
- Physics Note
- Status
- Published
- Publication date
- 26/07/2010
- Description
- In this manuscript one determines the first and second Kramers-Moyal moments of the Dow Jones daily index return time series and compare them with the coefficients related to a generalised Langevin equation, proposed {\it a priori}, whose associated Fokker-Planck equation has as solution the distribution which optimises nonextensive entropy, known as \textit{Tsallis distribution}. The results obtained show that coefficients, from data and from dynamics, are similar confirming, thus, that the application of the current nonextensive statistical mechanics formalism in the treatment of financial systems has, in fact, a dynamical foundation.
- Year
- 2005
- Number
- CBPF-NF-027/05
- Linked to a thesis
- No
- Linked to a grant
- No