Non-extensive behavior of a stock market index at microscopic time scales

A.A.G. Cortines and R. Riera

Physica A: Statistical Mechanics and its Applications, 2007, vol. 377, issue 1, 181-192

Abstract: 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 price 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 return 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. This exponentially damped, non-extensive modeling provides a new framework to investigate the dynamics of other stock markets intraday price fluctuations.

Keywords: Non-extensive statistical mechanics; Stochastic processes; Econophysics; Non-linear dynamics; High-frequency returns (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:377:y:2007:i:1:p:181-192

DOI: 10.1016/j.physa.2006.10.099

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