On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics

Details On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics On anomalous distributions in intra-day financial time series and Non-extensive Statistical Mechanics

2004-03-24

arxiv.org/abs/cond-mat/0403624v1

Physica A 344, 279 - 283 (2004)

Physics

Condensed Matter

Statistical Mechanics

To appear in Physica A - "Proceedings of Applications of Physics to Financial Analysis 4", 5 pages, 1 figures

Scientific paper

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, {$\frac{dp_{x}}{d| x|}=-\beta_{q^{\prime }}p_{x}^{q^{\prime}}-(\beta_{q}-\beta_{q^{\prime}}) p_{x}^{q}$}, which corresponds to a generalization of the differential equation which has as solution the power-laws that optimise the entropic form $S_{q}=-k \frac{1-\int p_{x}^{q} dx}{1-q}$, base of present non-extensive statistical mechanics.

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