Non-Stationarity in Financial Time Series and Generic Features

Thilo A. Schmitt, Desislava Chetalova, Rudi Sch\"afer and Thomas Guhr

Papers from arXiv.org

Abstract: Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe limitations for approaches in the spirit of standard equilibrium statistical mechanics and thermodynamics. Nevertheless, we show that there are similar generic features which we uncover in the empirical return distributions for whole markets. We explain our findings by setting up a random matrix model.

Date: 2013-04, Revised 2013-05
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Published in EPL 103 (2013) 58003

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