On anomalous distributions in intra-day financial time series and non-extensive statistical mechanics

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, dpxd|x|=-βq′pxq′-(βq-βq′)pxq, which corresponds to a generalisation of the differential equation which has as solution the power-laws that optimise the entropic form Sq=-k1-∫pxqdx1-q, base of present non-extensive statistical mechanics.

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Year of publication:	2004
Authors:	Queirós, Silvio M. Duarte
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 344.2004, 1, p. 279-283
Publisher:	Elsevier
Subject:	Econophysics \| Non-extensive statistical mechanics \| Complex systems

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011062389