Generalised diffusion model of asset price fluctuations

  • Peter Richmond
  • Michael B. Sexton
  • Stephen J. Hardiman
  • Stefan Hutzler
Regular Article
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Abstract

We present a (semi-) analytical model of asset fluctuations using the framework of Fokker-Planck equations, together with generalised diffusion coefficients. Allowing for time dependence of the coefficients D 1 and D 2 provides a route to the characterization of the long- and short-time nature of autocorrelation functions, as is demonstrated for Dow Jones 1993–2012 financial data.

Keywords

Statistical and Nonlinear Physics 

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Copyright information

© EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  • Peter Richmond
    • 1
  • Michael B. Sexton
    • 1
  • Stephen J. Hardiman
    • 1
    • 2
  • Stefan Hutzler
    • 1
  1. 1.School of Physics, Trinity College DublinDublin 2Ireland
  2. 2.Capital Fund ManagementParisFrance

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