---
title: "On the connection between nonextensivity and financial markets, A Langevin and Fokker-Planck analysis • CBPF Index"
description: "CBPF INDEX es el sistema de seguimiento de la producción científica y tecnológica del CBPF. En él se puede obtener la lista de publicaciones de artículos, libros, informes técnicos, etc. de toda la comunidad del CBPF."
canonical_url: "https://index.cbpf.br/es/publicacoes/6ad2a767639f62b11adbb00e"
locale: es
meta:
  "og:description": "CBPF INDEX es el sistema de seguimiento de la producción científica y tecnológica del CBPF. En él se puede obtener la lista de publicaciones de artículos, libros, informes técnicos, etc. de toda la comunidad del CBPF."
  "og:image": "https://index.cbpf.br/_og/d/c_Item%2Ctitulo_~T24gdGhlIGNvbm5lY3Rpb24gYmV0d2VlbiBub25leHRlbnNpdml0eSBhbmQgZmluYW5jaWFsIG1hcmtldHMsIEEgTGFuZ2V2aW4gYW5kIEZva2tlci1QbGFuY2sgYW5hbHlzaXM%2Ctipo_~Tm90YSBkZSBGw61zaWNh%2Ccor_~I2E4MmMwMA%2Cautores_~U8OtbHZpbyBNLiBEdWFydGUgUXVlaXLDs3M%2Cdetalhe_~MjYvMDcvMjAxMA%2Csecao_Publicaciones%2Cp_Ii9lcy9wdWJsaWNhY29lcy82YWQyYTc2NzYzOWY2MmIxMWFkYmIwMGUi%2Cs_BfvjdXBoRIvkagdr.png"
  "og:image:height": "600"
  "og:image:type": image/png
  "og:image:width": "1200"
  "og:title": "On the connection between nonextensivity and financial markets, A Langevin and Fokker-Planck analysis • CBPF Index"
  "twitter:image": "https://index.cbpf.br/_og/d/c_Item%2Ctitulo_~T24gdGhlIGNvbm5lY3Rpb24gYmV0d2VlbiBub25leHRlbnNpdml0eSBhbmQgZmluYW5jaWFsIG1hcmtldHMsIEEgTGFuZ2V2aW4gYW5kIEZva2tlci1QbGFuY2sgYW5hbHlzaXM%2Ctipo_~Tm90YSBkZSBGw61zaWNh%2Ccor_~I2E4MmMwMA%2Cautores_~U8OtbHZpbyBNLiBEdWFydGUgUXVlaXLDs3M%2Cdetalhe_~MjYvMDcvMjAxMA%2Csecao_Publicaciones%2Cp_Ii9lcy9wdWJsaWNhY29lcy82YWQyYTc2NzYzOWY2MmIxMWFkYmIwMGUi%2Cs_BfvjdXBoRIvkagdr.png"
---

> Index of every page on this site: [llms.txt](https://index.cbpf.br/llms.txt)

**Nota de Física****Publicado**

# **On the connection between nonextensivity and financial markets, A Langevin and Fokker-Planck analysis**

**Sílvio M. Duarte Queirós**

26/07/2010

[**Descargar PDF **0,5 MB](https://index.cbpf.br/files/publicacao/6ad2a767639f62b11adbb00e/pdf) [**Contactar al responsable**](mailto:apub@cbpf.br?subject=On%20the%20connection%20between%20nonextensivity%20and%20financial%20markets%2C%20A%20Langevin%20and%20Fokker-Planck%20analysis)

## **Datos de la publicación**

<dl>

<dt>Autores</dt>
<dd>Sílvio M. Duarte Queirós</dd>

<dt>Tipo</dt>
<dd>Nota de Física</dd>

<dt>Estado</dt>
<dd>Publicado</dd>

<dt>Fecha de publicación</dt>
<dd>26/07/2010</dd>

<dt>Descripción</dt>
<dd>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.</dd>

<dt>Año</dt>
<dd>2005</dd>

<dt>Número</dt>
<dd>CBPF-NF-027/05</dd>

<dt>Vínculo con tesis</dt>
<dd>No</dd>

<dt>Vínculo con beca</dt>
<dd>No</dd>

</dl>

```json
{"@context":"https://schema.org","@graph":[{"@id":"https://index.cbpf.br/es#website","@type":"WebSite","description":"O CBPF INDEX é o sistema de acompanhamento da produção científica e tecnológica do CBPF. Nele é possível obter a lista de publicações de artigos, livros, relatórios técnicos, etc de toda a comunidade do CBPF.","inLanguage":"es-ES","name":"CBPF Index","url":"https://index.cbpf.br/es","publisher":{"@id":"https://index.cbpf.br/#identity"},"translationOfWork":{"@id":"https://index.cbpf.br/#website"}},{"@id":"https://index.cbpf.br/es/publicacoes/6ad2a767639f62b11adbb00e#webpage","@type":"WebPage","description":"CBPF INDEX es el sistema de seguimiento de la producción científica y tecnológica del CBPF. En él se puede obtener la lista de publicaciones de artículos, libros, informes técnicos, etc. de toda la comunidad del CBPF.","name":"On the connection between nonextensivity and financial markets, A Langevin and Fokker-Planck analysis","url":"https://index.cbpf.br/es/publicacoes/6ad2a767639f62b11adbb00e","isPartOf":{"@id":"https://index.cbpf.br/es#website"},"potentialAction":[{"@type":"ReadAction","target":["https://index.cbpf.br/es/publicacoes/6ad2a767639f62b11adbb00e"]}],"primaryImageOfPage":{"@id":"https://index.cbpf.br/#logo"}},{"@id":"https://index.cbpf.br/#identity","@type":"Organization","alternateName":"CBPF","description":"Unidade de pesquisa do Ministério da Ciência, Tecnologia e Inovação dedicada à pesquisa básica em Física, suas aplicações e à formação científica.","email":"web@cbpf.br","legalName":"Centro Brasileiro de Pesquisas Físicas/CBPF","name":"Centro Brasileiro de Pesquisas Físicas","taxID":"04.044.443/0001-35","telephone":"+55-21-2141-7100","url":"https://cbpf.br","address":{"@type":"PostalAddress","streetAddress":"Rua Dr. Xavier Sigaud, 150","addressLocality":"Rio de Janeiro","addressRegion":"RJ","postalCode":"22290-180","addressCountry":"BR"},"logo":{"@id":"https://index.cbpf.br/#logo"},"sameAs":["https://twitter.com/cbpf_mcti"]},{"@id":"https://index.cbpf.br/#logo","@type":"ImageObject","caption":"Centro Brasileiro de Pesquisas Físicas","contentUrl":"https://index.cbpf.br/icon-512x512-light.png","inLanguage":"es-ES","url":"https://index.cbpf.br/icon-512x512-light.png"}]}
```

## Sitemap

See the full [sitemap](https://index.cbpf.br/sitemap.md) for all pages.