Langevin dynamics of financial systems: A second-order analysis
نویسندگان
چکیده
منابع مشابه
Langevin dynamics of financial systems: A second-order analysis
We address the issue of stock market fluctuations within Langevin Dynamics (LD) and the thermodynamics definitions of multifractality in order to study its second-order characterization given by the analogous specific heat Cq, where q is an analogous temperature relating the moments of the generating partition function for the financial data signals. Due to non-linear and additive noise terms w...
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ژورنال
عنوان ژورنال: The European Physical Journal B
سال: 2001
ISSN: 1434-6028
DOI: 10.1007/pl00011127