Langevin dynamics of financial systems: a second-order analysis

Details Langevin dynamics of financial systems: a second-order analysis Langevin dynamics of financial systems: a second-order analysis

2001-04-22

arxiv.org/abs/cond-mat/0104412v1

Physics

Condensed Matter

LaTex, 4 PostScript figures; To appear EJP-B

Scientific paper

10.1007/PL00011127

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 C_{q}, 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 within the LD, we found that C_{q} can display a shoulder to the right of its main peak as also found in the S&P500 historical data which may resemble a classical phase transition at a critical point.

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