Generalised diffusion model of asset price fluctuations

Autor:	Stephen J. Hardiman, Michael B. Sexton, Peter Richmond, Stefan Hutzler
Rok vydání:	2014
Předmět:	Physics Solid-state physics Autocorrelation Complex system Asset (economics) Statistical physics Diffusion (business) Condensed Matter Physics Electronic Optical and Magnetic Materials Characterization (materials science)
Zdroj:	The European Physical Journal B. 87
ISSN:	1434-6036 1434-6028
DOI:	10.1140/epjb/e2014-40599-1
Popis:	We present a (semi-) analytical model of asset fluctuations using the framework of Fokker-Planck equations, together with generalised diffusion coefficients. Allowing for time dependence of the coefficients D 1 and D 2 provides a route to the characterization of the long- and short-time nature of autocorrelation functions, as is demonstrated for Dow Jones 1993–2012 financial data.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1c5446f5e2f29b06b73a4a690d60ff49 https://doi.org/10.1140/epjb/e2014-40599-1 Zobrazit plný text záznamu Full text from SpringerLink