Short Comprehensive Report on the Non-Brownian Stochastic Dynamics at Financial and Commodity Markets

• Authors: T. Ciepliński , A. Dominiczak , R. Kutner
• Languages of publication: EN

Abstracts

EN

In this work we empirically verify the generic breaking of the Central Limit Theorem on the financial and commodity markets. We analysed the distributions of log-returns for typical indices and price of gold, for increasing time horizons. We considered Random Coarse Graining Transformation of the Continuous-Time Random Walk model, which can represent the non-Gaussian price dynamics of underlying assets and the corresponding derivatives, e.g., various options or future contracts. We confirmed that empirical data and predictions of the model quite well agree.

Keywords

EN

89.20.-a; 89.65.Gh; 02.50.Ey; 02.50.Ga; 05.40.Fb

Discipline

• 02.50.Ey: Stochastic processes
• 89.20.-a: Interdisciplinary applications of physics
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
• 05.40.Fb: Random walks and Levy flights
• 02.50.Ga: Markov processes

• Journal: Acta Physica Polonica A
• Year: 2012
• Volume: 121
• Issue: 2B
• Pages: B-24-B-27

Dates

published

2012-02

Contributors

author

T. Ciepliński

• Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, PL-00681 Warsaw, Poland

author

A. Dominiczak

• Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, PL-00681 Warsaw, Poland

author

R. Kutner

• Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, PL-00681 Warsaw, Poland

References

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Identifiers

DOI

10.12693/APhysPolA.121.B-24