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Abstracts
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.
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
Year
Volume
Issue
Pages
B-24-B-27
Physical description
Dates
published
2012-02
Contributors
author
- Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, PL-00681 Warsaw, Poland
author
- Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, PL-00681 Warsaw, Poland
author
- Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, PL-00681 Warsaw, Poland
References
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- [2] R.N. Mantegna, H.E. Stanley, An Introduction to Econophysics. Correlations and Complexity in Finance, Cambridge Univ. Press, Cambridge 2000
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv121n2ba121z2bp04kz