dorsal/arxiv
View SchemaBoltzmann Distribution and Temperature of Stock Markets
| Authors | H. Kleinert, X. J. Chen |
|---|---|
| Categories | |
| ArXiv ID | physics/0609209 |
| URL | https://arxiv.org/abs/physics/0609209 |
| Journal | Physica. A 383, 583 (2007) |
Abstract
The minute fluctuations of of S&P 500 and NASDAQ 100 indices display Boltzmann statistics over a wide range of positive as well as negative returns, thus allowing us to define a {\em market temperature} for either sign. With increasing time the sharp Boltzmann peak broadens into a Gaussian whose volatility $ \sigma $ measured in $1/ \sqrt{{\rm min}}$ is related to the temperature $T$ by $T= \sigma / \sqrt{2}$. Plots over the years 1990--2006 show that the arrival of the 2000 crash was preceded by an increase in market temperature, suggesting that this increase can be used as a warning signal for crashes. A plot of the Dow Jones temperature over 78 years reveals a remarkable stability through many historical turmoils, interrupted only by short heat bursts near the crashes.
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"abstract": "The minute fluctuations of of S\u0026P 500 and NASDAQ 100 indices display\nBoltzmann statistics over a wide range of positive as well as negative returns,\nthus allowing us to define a {\\em market temperature} for either sign. With\nincreasing time the sharp Boltzmann peak broadens into a Gaussian whose\nvolatility $ \\sigma $ measured in $1/ \\sqrt{{\\rm min}}$ is related to the\ntemperature $T$ by $T= \\sigma / \\sqrt{2}$. Plots over the years 1990--2006 show\nthat the arrival of the 2000 crash was preceded by an increase in market\ntemperature, suggesting that this increase can be used as a warning signal for\ncrashes. A plot of the Dow Jones temperature over 78 years reveals a remarkable\nstability through many historical turmoils, interrupted only by short heat\nbursts near the crashes.",
"arxiv_id": "physics/0609209",
"authors": [
"H. Kleinert",
"X. J. Chen"
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"journal_ref": "Physica. A 383, 583 (2007)",
"title": "Boltzmann Distribution and Temperature of Stock Markets",
"url": "https://arxiv.org/abs/physics/0609209"
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