https://doi.org/10.1140/epjb/e2008-00347-x
Stock index dynamics worldwide: a comparative analysis
Departamento de Física, Pontifícia
Universidade Católica do Rio de Janeiro,
CP 38071, 22452-970 Rio de Janeiro, Brazil
Corresponding authors: a cortines@fis.puc-rio.br - b celia@fis.puc-rio.br - c rrif@fis.puc-rio.br
Received:
21
January
2008
Revised:
20
June
2008
Published online:
12
September
2008
We perform a comparative analysis of twenty-four daily stock indices across the world, encompassing developed and emerging markets. We compute, directly from the return empirical time series, the Kramers-Moyal (KM) expansion coefficients that govern the evolution of the probability density function of returns throughout timelags. Our study discloses universal patterns of the KM coefficients, which can be described in terms of a few microscopic parameters. These parameters allow to quantify features such as deviations from Gaussianity or from efficiency, providing a tool to discriminate market dynamics.
PACS: 05.10.Gg – Stochastic analysis methods (Fokker-Planck, Langevin, etc.) / 05.40.-a – Fluctuation phenomena, random processes, noise, and Brownian motion / 02.50.Ey – Stochastic processes / 89.65.Gh – Economics; econophysics, financial markets, business and management
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2008
