Share price returns on different time scales can be well modeled by a superstatistical dynamics. We provide an investigation which type of superstatistics is most suitable to properly describe share price dynamics on various time scales. It is shown that while chi-square-superstatistics works well on a time scale of days, on a much smaller time scale of minutes the price changes are better described by lognormal superstatistics. The system dynamics thus exhibits a transition from lognormal to chi-square-superstatistics as a function of time scale. We discuss a more general model interpolating between both statistics which fits the observed data very well. We also present results on correlation functions of the extracted superstatistical volatility parameter, which exhibits exponential decay for returns on large time scales, whereas for returns on small time scales there are long-range correlations and power-law decays. We also apply the symbolic dynamics technique from dynamical system theory to analyse the coarse-grained evolution of share price returns. A nontrivial spectrum of Renyi entropies is found. We study how the spectrum depends on the time scale of returns, the sector of stocks considered, as well as the number of symbols used for the symbolic description. Overall our analysis confirms that in the symbol space transition probabilities of observed share price returns depend on the entire history of previous symbols, thus emphasizing the need for a model of share price evolution based on non-Markovian stochastic processes. Our method allows for quantitative comparisons of entirely different complex systems, for example the statistics of coarse-grained share price returns using 4 symbols can be compared with that of other complex systems.
Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:765939 |
Date | January 2017 |
Creators | Xu, Dan |
Publisher | Queen Mary, University of London |
Source Sets | Ethos UK |
Detected Language | English |
Type | Electronic Thesis or Dissertation |
Source | http://qmro.qmul.ac.uk/xmlui/handle/123456789/24873 |
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