The volatility in a multi-share financial market model

A. Ponzi
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A. Ponzi: Department of Physics, Trinity College, Dublin, Ireland and Hibernian Investment Management, Dublin, Ireland

The European Physical Journal B: Condensed Matter and Complex Systems, 2001, vol. 20, issue 4, 565-568

Abstract: Abstract: Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the variance of the price fluctuations, with empirical characteristics. In particular we find its probability distribution is similar to a log normal distribution but with a long power-law tail for the large fluctuations, and that the time development shows superdiffusion. Both these results are in good quantitative agreement with observations.

Keywords: PACS.; 05.40.Fb; Random; walks; and; Levy; flights; –; 87.23.Ge; Dynamics; of; social; systems (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1007/s100510170241

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