英文标题：
《Q-Gaussian diffusion in stock markets》
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作者：
Alonso-Marroquin Fernando, Arias-Calluari Karina, Harre Michael,
  Najafi Morteza N. and Herrmann Hans J
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最新提交年份：
2019
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英文摘要：
  We analyze the Standard & Poor\'s 500 stock market index from the last 22 years. The probability density function of price returns exhibits two well-distinguished regimes with self-similar structure: the first one displays strong super-diffusion together with short-time correlations, and the second one corresponds to weak super-diffusion with weak time correlations. Both regimes are well-described by q-Gaussian distributions. The porous media equation is used to derive the governing equation for these regimes, and the Black-Scholes diffusion coefficient is explicitly obtained from the governing equation.
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中文摘要：
我们分析了过去22年来标准普尔500指数。价格收益率的概率密度函数表现出两个具有自相似结构的显著区域：第一个区域表现出强超扩散和短时相关性，第二个区域对应于弱超扩散和弱时间相关性。这两个区域都用q-高斯分布很好地描述。多孔介质方程用于推导这些区域的控制方程，Black-Scholes扩散系数由控制方程显式获得。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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