On anomalous distributions in intra-day financial time series and non-extensive statistical mechanics

Silvio M. Duarte Queirós

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 279-283

Abstract: In this paper, one studies the distribution of log-returns (tick-by-tick) in the Lisbon stock market and shows that it is well adjusted by the solution of the equation, dpxd|x|=-βq′pxq′-(βq-βq′)pxq, which corresponds to a generalisation of the differential equation which has as solution the power-laws that optimise the entropic form Sq=-k1-∫pxqdx1-q, base of present non-extensive statistical mechanics.

Keywords: Econophysics; Non-extensive statistical mechanics; Complex systems (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437104009495
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:279-283

DOI: 10.1016/j.physa.2004.06.132

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().