dorsal/arxiv
View SchemaNon-extensive Behavior of a Stock Market Index at Microscopic Time Scales
| Authors | A. A. G. Cortines, R. Riera |
|---|---|
| Categories | |
| ArXiv ID | physics/0607167 |
| URL | https://arxiv.org/abs/physics/0607167 |
| DOI | 10.1016/j.physa.2006.10.099 |
Abstract
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are measured over intervals less than one hour, the empirical distributions are well fitted by q-Gaussians with exponential damped tails. Scaling behavior is also observed for these microscopic time intervals. We find that the time evolution of the distributions is according to a super diffusive q-Gaussian stationary process within a nonlinear Fokker-Planck equation. This regime breaks down due to the exponential fall-off of the tails, which in turn, governs the transient dynamics to the long-term macroscopic Gaussian regime. Our results suggest that this modeling provides a framework for the description of the dynamics of stock markets intraday price fluctuations.
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"abstract": "This paper presents an empirical investigation of the intraday Brazilian\nstock market price fluctuations, considering q-Gaussian distributions that\nemerge from a non-extensive statistical mechanics. Our results show that, when\nreturns are measured over intervals less than one hour, the empirical\ndistributions are well fitted by q-Gaussians with exponential damped tails.\nScaling behavior is also observed for these microscopic time intervals. We find\nthat the time evolution of the distributions is according to a super diffusive\nq-Gaussian stationary process within a nonlinear Fokker-Planck equation. This\nregime breaks down due to the exponential fall-off of the tails, which in turn,\ngoverns the transient dynamics to the long-term macroscopic Gaussian regime.\nOur results suggest that this modeling provides a framework for the description\nof the dynamics of stock markets intraday price fluctuations.",
"arxiv_id": "physics/0607167",
"authors": [
"A. A. G. Cortines",
"R. Riera"
],
"categories": [
"physics.soc-ph",
"cond-mat.stat-mech",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2006.10.099",
"title": "Non-extensive Behavior of a Stock Market Index at Microscopic Time Scales",
"url": "https://arxiv.org/abs/physics/0607167"
},
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