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Generalised diffusion model of asset price fluctuations

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Abstract

We present a (semi-) analytical model of asset fluctuations using the framework of Fokker-Planck equations, together with generalised diffusion coefficients. Allowing for time dependence of the coefficients D 1 and D 2 provides a route to the characterization of the long- and short-time nature of autocorrelation functions, as is demonstrated for Dow Jones 1993–2012 financial data.

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Authors and Affiliations

  1. School of Physics, Trinity College Dublin, Dublin 2, Ireland

    Peter Richmond, Michael B. Sexton, Stephen J. Hardiman & Stefan Hutzler

  2. Capital Fund Management, 75007, Paris, France

    Stephen J. Hardiman

Authors
  1. Peter Richmond
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  2. Michael B. Sexton
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  3. Stephen J. Hardiman
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  4. Stefan Hutzler
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Corresponding author

Correspondence to Michael B. Sexton.

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Richmond, P., Sexton, M., Hardiman, S. et al. Generalised diffusion model of asset price fluctuations. Eur. Phys. J. B 87, 63 (2014). https://doi.org/10.1140/epjb/e2014-40599-1

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  • DOI: https://doi.org/10.1140/epjb/e2014-40599-1

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