Generalised diffusion model of asset price fluctuations

Abstract

We present a (semi-) analytical model of asset fluctuations using the framework of Fokker-Planck equations, together with generalised diffusion coefficients. Allowing for time dependence of the coefficients D1 and D2 provides a route to the characterization of the long- And short- Time nature of autocorrelation functions, as is demonstrated for Dow Jones 1993-2012 financial data. © EDP Sciences, Società Italiana di Fisica, Springer-Verlag 2014.