Q-Gaussian diffusion in stock markets.
other · Level V
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- Record sourced from PubMed, PMID 31330710.
- Also identified by DOI 10.1103/PhysRevE.99.062313.
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Abstract
We analyze the Standard & Poor's 500 stock market index from the past 22 years. The probability density function of price returns exhibits two well-distinguished regimes with self-similar structure: the first one displays strong superdiffusion together with short-time correlations and the second one corresponds to weak superdiffusion with weak time correlations. Both regimes are well described by q-Gaussian distributions. The porous media equation-a special case of the Tsallis-Bukman equation-is used to derive the governing equation for these regimes and the Black-Scholes diffusion coefficient is explicitly obtained from the governing equation.