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Subdynamics of financial data from fractional Fokker-Planck equation

Listed author(s):
  • Janczura, Joanna
  • Wyłomańska, Agnieszka

In exhibition of many real market data we observe characteristic traps. This behavior is especially noticeable for processes corresponding to stock prices. Till now, such economic systems were analyzed in the following manner: before the further investigation trap-data were removed or omitted and then the conventional methods used. Unfortunately, for many observations this approach seems not to be reasonable therefore we propose an alternative approach based on the subdiffusion models that demonstrate such characteristic behavior and their corresponding probability density function (pdf) is described by the fractional Fokker-Planck equation. In this paper we model market data using subdiffusion with a constant force. We demonstrate properties of the considered systems and propose estimation methods.

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File URL: https://mpra.ub.uni-muenchen.de/30649/1/MPRA_paper_30649.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 30649.

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Date of creation: Jan 2009
Publication status: Published in Acta Physica Polonica B 5.40(2009): pp. 1341-1351
Handle: RePEc:pra:mprapa:30649
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  1. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
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