Langevin dynamics of financial systems: a second-order analysis

E. Canessa

doi:10.1007/pl00011127

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Langevin dynamics of financial systems: a second-order analysis

E. Canessa

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Abstract

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 C_{q}, 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 C_{q} 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.

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E. Canessa. 2001-04-22. Langevin dynamics of financial systems: a second-order analysis. https://doi.org/10.1007/pl00011127

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