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

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Ciepliński T., Dominiczak A., Kutner R.
Acta Physica Polonica A
|
2012
|
vol. 121
|
issue 2B
B-24-B-27
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.
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