dorsal/arxiv
View SchemaThe average behaviour of financial market by 2 scale homogenisation
| Authors | R. Wojnar |
|---|---|
| Categories | |
| ArXiv ID | physics/0608191 |
| URL | https://arxiv.org/abs/physics/0608191 |
Abstract
The financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a market in long terms, such as year intervals, is different from that in short terms. A diffusion equation with a time dependent diffusion coefficient that describes the fluctuations of the financial market, is subject to a two-scale homogenisation, and long term characteristics of the market such as mean behaviour of price and variance, are obtained. We indicate also that introduction of convolution into diffusion equation permits to obtain L- stable behaviour of finance.
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"abstract": "The financial market is nonpredictable, as according to the Bachelier, the\nmathematical expectation of the speculator is zero. Nevertheless, we observe in\nthe price fluctuations the two distinct scales, short and long time. Behaviour\nof a market in long terms, such as year intervals, is different from that in\nshort terms.\n A diffusion equation with a time dependent diffusion coefficient that\ndescribes the fluctuations of the financial market, is subject to a two-scale\nhomogenisation, and long term characteristics of the market such as mean\nbehaviour of price and variance, are obtained. We indicate also that\nintroduction of convolution into diffusion equation permits to obtain L- stable\nbehaviour of finance.",
"arxiv_id": "physics/0608191",
"authors": [
"R. Wojnar"
],
"categories": [
"physics.soc-ph",
"q-fin.TR"
],
"title": "The average behaviour of financial market by 2 scale homogenisation",
"url": "https://arxiv.org/abs/physics/0608191"
},
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