Medium and Small Scale Analysis of Financial Data

Details Medium and Small Scale Analysis of Financial Data Medium and Small Scale Analysis of Financial Data

2006-08-09

arxiv.org/abs/physics/0608103v1

Physics

Data Analysis, Statistics and Probability

4 pages, 5 figures

Scientific paper

10.1016/j.physa.2007.03.041

A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays $\tau$. 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 characterized by universal features. The second time-range, the medium-timescale range from several minutes upwards and can be characterized by a cascade process, which is given by a stochastic Markov process in the scale $\tau$. A corresponding Fokker-Planck equation can be extracted from given data and provides a non equilibrium thermodynamical description of the complexity of financial data.

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