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Q-Gaussian diffusion in stock markets

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Listed:
  • Alonso-Marroquin Fernando
  • Arias-Calluari Karina
  • Harre Michael
  • Najafi Morteza N.
  • Herrmann Hans J

Abstract

We analyze the Standard & Poor's 500 stock market index from the last 22 years. The probability density function of price returns exhibits two well-distinguished regimes with self-similar structure: the first one displays strong super-diffusion together with short-time correlations, and the second one corresponds to weak super-diffusion with weak time correlations. Both regimes are well-described by q-Gaussian distributions. The porous media equation is used to derive the governing equation for these regimes, and the Black-Scholes diffusion coefficient is explicitly obtained from the governing equation.

Suggested Citation

  • Alonso-Marroquin Fernando & Arias-Calluari Karina & Harre Michael & Najafi Morteza N. & Herrmann Hans J, 2019. "Q-Gaussian diffusion in stock markets," Papers 1902.10500, arXiv.org.
    • Handle: RePEc:arx:papers:1902.10500
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    File URL: http://arxiv.org/pdf/1902.10500
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