Dresden 2003 – scientific programme
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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 3: Postersitzung
AKSOE 3.2: Poster
Monday, March 24, 2003, 15:45–17:15, P1
Probabilistic Analysis of DAX High Frequency Data — •Ralf Remer1, Reinhard Mahnke1, and Aliaksei Konash2 — 1FB Physik, Univ. Rostock, 18051 Rostock — 2Inst. Physics, Nat. Acad. Sci., 220072 Minsk, Belarus
The Heston model is a well established model for the description of the stock price dynamics. Drăgulescu et al. discovered a solution for long time behaviour that seems to be very interesting due the good agreement with empirical data from the New York stock exchange (NYSE). Based on this result we took the calculated stationary standardized probability density distribution and compared it with our empirical data from the German stock exchange. We use the German tick–by–tick data of the stock index DAX and its stocks from May 1996 until December 2001. We calculated the probability density distributions for different time lags and compared them with the theoretical solution for the long time behaviour of the Heston model developed by Drăgulescu et al.
[1] Drăgulescu, Adrian A., Yakovenko,Victor M.: Probability distribution of returns in the Heston model with stochastic volatility. Quantitative Finance, 2, 443–453 (2002)
[2] stock prices received by: Karlsruher Kapitalmarktdatenbank, DAX and its stocks, Karlsruhe (2002)