On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics

Silvio M. Duarte Queiros

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Abstract: In this paper one studies the distribution of log-returns (tick-by-tick) in the Lisbon stock market and shows that it is well adjusted by the solution of the equation, {$\frac{dp_{x}}{d| x|}=-\beta_{q^{\prime }}p_{x}^{q^{\prime}}-(\beta_{q}-\beta_{q^{\prime}}) p_{x}^{q}$}, which corresponds to a generalization of the differential equation which has as solution the power-laws that optimise the entropic form $S_{q}=-k \frac{1-\int p_{x}^{q} dx}{1-q}$, base of present non-extensive statistical mechanics.

Date: 2004-03
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Published in Physica A 344, 279 - 283 (2004)

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