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Non-extensive Behavior of a Stock Market Index at Microscopic Time Scales

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  • A. A. G. Cortines
  • R. Riera

Abstract

This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are measured over intervals less than one hour, the empirical distributions are well fitted by q-Gaussians with exponential damped tails. Scaling behavior is also observed for these microscopic time intervals. We find that the time evolution of the distributions is according to a super diffusive q-Gaussian stationary process within a nonlinear Fokker-Planck equation. This regime breaks down due to the exponential fall-off of the tails, which in turn, governs the transient dynamics to the long-term macroscopic Gaussian regime. Our results suggest that this modeling provides a framework for the description of the dynamics of stock markets intraday price fluctuations.

Suggested Citation

  • A. A. G. Cortines & R. Riera, 2006. "Non-extensive Behavior of a Stock Market Index at Microscopic Time Scales," Papers physics/0607167, arXiv.org.
  • Handle: RePEc:arx:papers:physics/0607167
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