2006/07/18 by A. A. G. Cortines, R. Riera
Physics and Astronomy · Economics, Econometrics and Finance · #physics.soc-ph #cond-mat.stat-mech #q-fin.ST
paper · pdf · doi:10.1016/j.physa.2006.10.099
17 pages, 11 figures and 1 table
arxiv created 2006/07/18 · arxiv updated 2009/12/01
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are measured over intervals less than one hour, the empirical distributions are well fitted by q-Gaussians with exponential damped tails. Scaling behavior is also observed for these microscopic time intervals. We find that the time evolution of the distributions is according to a super diffusive q-Gaussian stationary process within a nonlinear Fokker-Planck equation. This regime breaks down due to the exponential fall-off of the tails, which in turn, governs the transient dynamics to the long-term macroscopic Gaussian regime. Our results suggest that this modeling provides a framework for the description of the dynamics of stock markets intraday price fluctuations.