Langevin dynamics of financial systems: A second-order analysis
The Abdus Salam International Centre for Theoretical Physics, PO Box 586, 34100 Trieste, Italy
Corresponding author: a firstname.lastname@example.org
Revised: 26 March 2001
Published online: 15 July 2001
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.
PACS: 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
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2001