Non-extensive Behavior of a Stock Market Index at Microscopic Time Scales

A. A. G. Cortines and R. Riera

Papers from arXiv.org

Abstract: This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are measured over intervals less than one hour, the empirical distributions are well fitted by q-Gaussians with exponential damped tails. Scaling behavior is also observed for these microscopic time intervals. We find that the time evolution of the distributions is according to a super diffusive q-Gaussian stationary process within a nonlinear Fokker-Planck equation. This regime breaks down due to the exponential fall-off of the tails, which in turn, governs the transient dynamics to the long-term macroscopic Gaussian regime. Our results suggest that this modeling provides a framework for the description of the dynamics of stock markets intraday price fluctuations.

Date: 2006-07
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0607167

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