Berlin 2005 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 13: Financial Markets and Risk Management I

AKSOE 13.3: Vortrag

Mittwoch, 9. März 2005, 11:00–11:30, TU P-N203

Evidence of non-uniform scale properties of financial data — •Andreas P. Nawroth and Joachim Peinke — Universität Oldenburg

The statistics of returns for financial assets are dependent on the time scale. This poses great challenges to risk management and other applications. We present a method of analysing the scale dependent complexity of financial data. This method is applied to different sets of financial data, namely individual stocks which are members of the German Stock Index DAX and the index itself. The high frequency datasets contain all trades during the years 1993-2003. In order to analyse the differences in the return distributions for different time steps, a measure of distance between the return probability density functions is introduced. This measure describes the change in the shape of the probability density function if one goes from one scale to another. We found evidence of a universal behaviour of the distance of the return distributions between different timescales. Evidence is given that the functional form of the distance measure depends on the scale itself. Especially for small scales a different regime is observed.