TAILIEUCHUNG - Simple model for market returns distribution

The analysis of stock market data packages in different time intervals showed that our model fits well the financial market data. The meaning of so–called relaxation time has been qualitatively made clear, as a measure to estimate the stability of the market. | Communications in Physics, Vol. 23, No. 2 (2013), pp. 185-191 SIMPLE MODEL FOR MARKET RETURNS DISTRIBUTION CHU THUY ANH AND NGUYEN AI VIET Institute of Physics, Vietnam Academy of Science and Technology, 10 Dao Tan, Ba Dinh, Hanoi, Vietnam DO HONG LIEN Ha Nam Teacher Training College, Ly Thuong Kiet, Le Hong Phong Ward, Phu Ly City, Ha Nam Province, Vietnam E-mail: ctanh@ Received 31 August 2012; revised manuscript received 25 April 2013 Accepted for publication 08 June 2013 Abstract. It has been observed that at the large time scales the distribution of stock market returns is convergent from Boltzmann distribution to Gaussian asymptotic one. To explain this universal phenomenon, we propose a new and simple dynamic model to describe this convergence by the time parameter in association with the introducing the concept of relaxation time for financial markets. The analysis of stock market data packages in different time intervals showed that our model fits well the financial market data. The meaning of so–called relaxation time has been qualitatively made clear, as a measure to estimate the stability of the market. I. INTRODUCTION It has been sixteen years[1] since the first time the term ”econophysics” was introduced. Sixteen years is quite a long time for a man, but a short time for a oak, as well as for a new research branch. Although that, there have been more and more interests of physicists in econophysics. There are also several considerable successes of econophysicists[2], from both physics point of view and economic point of view. Since both statistical mechanics and economics study macroscopic behaviours, . collective modes, of big ensembles – collections of states of a physical system or that of market returns[3], and many phenomena found in statistical mechanics are able to be mapped into equivalent phenomena of economics and vice versa because of their common collective nature, the widely used approach in econophysics is .

• Vật lý
• Communications in Physics
• Simple model for market returns distribution
• Market returns distribution
• Boltzmann distribution to Gaussian asymptotic one
• Estimate the stability of the market
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