Article ID Journal Published Year Pages File Type
979591 Physica A: Statistical Mechanics and its Applications 2007 6 Pages PDF
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
, ,