Q-Gaussian diffusion in stock markets

Alonso-Marroquin Fernando, Arias-Calluari Karina, Harre Michael, Najafi Morteza N. and Herrmann Hans J

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Abstract: We analyze the Standard & Poor's 500 stock market index from the last 22 years. The probability density function of price returns exhibits two well-distinguished regimes with self-similar structure: the first one displays strong super-diffusion together with short-time correlations, and the second one corresponds to weak super-diffusion with weak time correlations. Both regimes are well-described by q-Gaussian distributions. The porous media equation is used to derive the governing equation for these regimes, and the Black-Scholes diffusion coefficient is explicitly obtained from the governing equation.

Date: 2019-02
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1902.10500

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