Janczura, Joanna and Wyłomańska, Agnieszka (2009): Subdynamics of financial data from fractional FokkerPlanck equation. Published in: Acta Physica Polonica B , Vol. 40, No. 5 (2009): pp. 13411351.

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Abstract
In exhibition of many real market data we observe characteristic traps. This behavior is especially noticeable for processes corresponding to stock prices. Till now, such economic systems were analyzed in the following manner: before the further investigation trapdata were removed or omitted and then the conventional methods used. Unfortunately, for many observations this approach seems not to be reasonable therefore we propose an alternative approach based on the subdiffusion models that demonstrate such characteristic behavior and their corresponding probability density function (pdf) is described by the fractional FokkerPlanck equation. In this paper we model market data using subdiffusion with a constant force. We demonstrate properties of the considered systems and propose estimation methods.
Item Type:  MPRA Paper 

Original Title:  Subdynamics of financial data from fractional FokkerPlanck equation 
Language:  English 
Keywords:  subdiffusion, constant periods, fractional FokkerPlanck equation, stock prices 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation 
Item ID:  30649 
Depositing User:  Joanna Janczura 
Date Deposited:  05. May 2011 16:56 
Last Modified:  15. Feb 2013 19:48 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/30649 