Dresden 2014 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 6: Poster Session

SOE 6.8: Poster

Monday, March 31, 2014, 18:00–20:00, P2

Stochastic Evolution of New York Stock Market Distributions — Paulo Rocha¹, Joao P. da Cruz^2,3, Frank Raischel⁴, and •Pedro G. Lind⁵ — ¹Mathematical Department of Faculdade de Ciências of University of Lisbon, Campo Grande 1749-016 Lisboa — ²Closer Consultoria Lda, Avenida Engenheiro Duarte Pacheco,Torre 2, 14-C, 1070-102 Lisboa, Portugal — ³Departamento de Física, Faculdade de Ciências da Universidade de Lisboa, 1649-003 Lisboa, Portugal — ⁴Instituto Dom Luiz, CGUL, 1749-016 University of Lisbon, Lisbon, Portugal — ⁵ForWind and Institute of Physics, Carl-von-Ossietzky University of Oldenburg, DE-26111 Oldenburg, Germany

Using data from the New York stock market, extracted from the Yahoo platform (http://finance.yahoo.com) every 10 minutes since January 2011, we test four different bi-parametric models to fit the correspondent volume-price distributions at each 10-minute lag: the Gamma distribution, the inverse Gamma distribution, the Weibull distribution and the lognormal distribution. In each case, the value of the pair of parameters is recorded, composing a bivariate time-series, which is then analyzed as a stochastic process. Assuming that the evolution of the two parameters is governed by a two-dimensional coupled Langevin equation, we derive the corresponding drift vector and diffusion matrix, which can then provide physical insight for understanding the mechanisms underlying the evolution of the stock market.