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SYFT: Fat-Tail Distributions - Applications from Physics to Finance

SYFT 3: Fat-Tail Distributions - Applications from Physics to Finance

SYFT 3.3: Poster

Monday, March 8, 2004, 16:00–18:00, Poster D

Simple stochastic modeling for financial markets — •Hans-Georg Matuttis — Department of mechanical engineering and intelligent systems, The University of Electrocommunications, Chofu Chofugaoka 1-5-1,Tokyo 182-8585, Japan

A simple model using a stochastic differential euqation is proposed which allows to extrapolate from random-walk type distributions to fat tail distributions. To transcend the purely qualititative aggrement, an attempt is made to derive the assumption in the model from contemporary stock market practices in a quantitative way.