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Langevin dynamics of financial systems: a second-order analysis

Authors
  • Canessa, E.
Type
Preprint
Publication Date
Apr 22, 2001
Submission Date
Apr 22, 2001
Identifiers
DOI: 10.1007/PL00011127
arXiv ID: cond-mat/0104412
Source
arXiv
License
Unknown
External links

Abstract

We address the issue of stock market fluctuations within Langevin Dynamics (LD) and the thermodynamics definitions of multifractality in order to study its second-order characterization given by the analogous specific heat C_{q}, where q is an analogous temperature relating the moments of the generating partition function for the financial data signals. Due to non-linear and additive noise terms within the LD, we found that C_{q} can display a shoulder to the right of its main peak as also found in the S&P500 historical data which may resemble a classical phase transition at a critical point.

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