We show that the fluctuations of the tick-by-tick logarithmic price in a futures market can be described in terms of the Fokker–Planck equation (FPE). We calculate the corresponding drift and diffusion coefficients and argue that these values can contain some information pertaining to the...

We study the evolution of probability distribution functions of returns, from the tick data of the Korean treasury bond (KTB) futures and the S&P 500 stock index, which can be described by means of the Fokker–Planck equation. We show that the Fokker–Planck equation and the Langevin equation...