The volatility in a multi-share financial market model
Department of Physics, Trinity College, Dublin, Ireland
Hibernian Investment Management, Dublin, Ireland
Corresponding author: a firstname.lastname@example.org
Published online: 15 April 2001
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the variance of the price fluctuations, with empirical characteristics. In particular we find its probability distribution is similar to a log normal distribution but with a long power-law tail for the large fluctuations, and that the time development shows superdiffusion. Both these results are in good quantitative agreement with observations.
PACS: 05.40.Fb – Random walks and Levy flights / 87.23.Ge – Dynamics of social systems
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2001