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A process-reconstruction analysis of market fluctuations

Author

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  • R. Vilela Mendes
  • R. Lima
  • T. Araujo

Abstract

The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is carried out for market fluctuation processes. Gibbs measures and chains with complete connections are considered. Some other topics are also discussed, in particular the asymptotic stationarity of the processes and the behavior of statistical indicators of level (1) and (2). We end up with some remarks concerning the nature of the market fluctuation process.

Suggested Citation

  • R. Vilela Mendes & R. Lima & T. Araujo, 2001. "A process-reconstruction analysis of market fluctuations," Papers cond-mat/0102301, arXiv.org.
  • Handle: RePEc:arx:papers:cond-mat/0102301
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    Cited by:

    1. Rui Vilela Mendes & M. J. Oliveira, 2006. "A data-reconstructed fractional volatility model," Papers math/0602013, arXiv.org, revised Jun 2007.
    2. Tanya Ara'ujo & Paulo Barbosa, 2023. "Reconstructing cryptocurrency processes via Markov chains," Papers 2308.07626, arXiv.org.
    3. R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012. "The fractional volatility model: No-arbitrage, leverage and completeness," Papers 1205.2866, arXiv.org.
    4. Hugo C. Mendes & Alberto Murta & R. Vilela Mendes, 2015. "Long Range Dependence And The Dynamics Of Exploited Fish Populations," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 18(07n08), pages 1-14, November.
    5. Vilela Mendes, R. & Araújo, Tanya & Louçã, Francisco, 2003. "Reconstructing an economic space from a market metric," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 635-650.
    6. Vilela Mendes, R. & Oliveira, M.J. & Rodrigues, A.M., 2015. "No-arbitrage, leverage and completeness in a fractional volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 470-478.
    7. Mansur Filho, J.C. & Silva, A.G. & Carvalho, A.T.G. & Martins, M.L., 2005. "Electrocrystallization under magnetic fields: experiment and model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 393-406.

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