Medium and small-scale analysis of financial data

Andreas P. Nawroth and Joachim Peinke

Physica A: Statistical Mechanics and its Applications, 2007, vol. 382, issue 1, 193-198

Abstract: A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays τ. The scale-dependent behaviour of financial data can be divided into two regions. The first time range, the small-timescale region (in the range of seconds) seems to be characterised by universal features. The second time range, the medium-timescale range from several minutes upwards can be characterised by a cascade process, which is given by a stochastic Markov process in the scale τ. A corresponding Fokker–Planck equation can be extracted from given data and provides a non-equilibrium thermodynamical description of the complexity of financial data.

Keywords: Econophysics; Financial markets; Stochastic processes; Fokker–Planck equation (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:382:y:2007:i:1:p:193-198

DOI: 10.1016/j.physa.2007.03.041

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