Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
979591 | Physica A: Statistical Mechanics and its Applications | 2007 | 6 Pages |
Abstract
A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays ττ. The scale-dependent behaviour of financial data can be divided into two regions. The first time range, the small-timescale region (in the range of seconds) seems to be characterised by universal features. The second time range, the medium-timescale range from several minutes upwards can be characterised by a cascade process, which is given by a stochastic Markov process in the scale ττ. A corresponding Fokker–Planck equation can be extracted from given data and provides a non-equilibrium thermodynamical description of the complexity of financial data.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Andreas P. Nawroth, Joachim Peinke,