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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 6: Poster Session

SOE 6.8: Poster

Montag, 31. März 2014, 18:00–20:00, P2

Stochastic Evolution of New York Stock Market DistributionsPaulo Rocha1, Joao P. da Cruz2,3, Frank Raischel4, and •Pedro G. Lind51Mathematical Department of Faculdade de Ciências of University of Lisbon, Campo Grande 1749-016 Lisboa — 2Closer Consultoria Lda, Avenida Engenheiro Duarte Pacheco,Torre 2, 14-C, 1070-102 Lisboa, Portugal — 3Departamento de Física, Faculdade de Ciências da Universidade de Lisboa, 1649-003 Lisboa, Portugal — 4Instituto Dom Luiz, CGUL, 1749-016 University of Lisbon, Lisbon, Portugal — 5ForWind and Institute of Physics, Carl-von-Ossietzky University of Oldenburg, DE-26111 Oldenburg, Germany

Using data from the New York stock market, extracted from the Yahoo platform (http://finance.yahoo.com) every 10 minutes since January 2011, we test four different bi-parametric models to fit the correspondent volume-price distributions at each 10-minute lag: the Gamma distribution, the inverse Gamma distribution, the Weibull distribution and the lognormal distribution. In each case, the value of the pair of parameters is recorded, composing a bivariate time-series, which is then analyzed as a stochastic process. Assuming that the evolution of the two parameters is governed by a two-dimensional coupled Langevin equation, we derive the corresponding drift vector and diffusion matrix, which can then provide physical insight for understanding the mechanisms underlying the evolution of the stock market.

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DPG-Physik > DPG-Verhandlungen > 2014 > Dresden