Langevin dynamics of financial systems: A second-order analysis

  • E. Canessa


We address the issue of stock market fluctuations within Langevin Dynamics (LD) and the thermodynamics definitions of multifractality in order to study its second-order characterization given by the analogous specific heat Cq, where q is an analogous temperature relating the moments of the generating partition function for the financial data signals. Due to non-linear and additive noise terms within the LD, we found that Cq can display a shoulder to the right of its main peak as also found in the S&P500 historical data which may resemble a classical phase transition at a critical point.


02.50.Ey Stochastic processes –  05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion –  89.90.+n Other topics in areas of applied and interdisciplinary physics 


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Copyright information

© EDP Sciences, Springer-Verlag 2001

Authors and Affiliations

  • E. Canessa
    • 1
  1. 1.The Abdus Salam International Centre for Theoretical PhysicsTriesteItaly

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