{
  "id": "cond-mat/0108017",
  "version": "v1",
  "published": "2001-08-01T15:34:54.000Z",
  "updated": "2001-08-01T15:34:54.000Z",
  "title": "Financial Market Dynamics",
  "authors": [
    "Fredrick Michael",
    "M. D. Johnson"
  ],
  "comment": "8 pages, 2 figures",
  "categories": [
    "cond-mat.stat-mech",
    "cond-mat.dis-nn",
    "q-fin.ST"
  ],
  "abstract": "Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions and superdiffusive dynamics. We investigate intra-day price changes in the S&P500 stock index within this framework by direct analysis and by simulation. We find that the power-law tails of the distributions, and the index's anomalously diffusing dynamics, are very accurately described by this approach. Our results show good agreement between market data, Fokker-Planck dynamics, and simulation. Thus the combination of the Tsallis non-extensive entropy and the nonlinear Fokker-Planck equation unites in a very natural way the power-law tails of the distributions and their superdiffusive dynamics.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2001-08-01T15:34:54.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "financial market dynamics",
      "nonlinear fokker-planck equation unites",
      "distributions",
      "power-law tails",
      "intra-day price changes"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 8,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2001cond.mat..8017M"
    }
  }
}