On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics
نویسنده
چکیده
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, dpx d|x| = −βq′p q x − (
منابع مشابه
Prediction of anomalous diffusion and algebraic relaxations for long-range interacting systems, using classical statistical mechanics.
We explain the ubiquity and extremely slow evolution of non-Gaussian out-of-equilibrium distributions for the Hamiltonian mean-field model, by means of traditional kinetic theory. Deriving the Fokker-Planck equation for a test particle, one also unambiguously explains and predicts striking slow algebraic relaxation of the momenta autocorrelation, previously found in numerical simulations. Final...
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