Simple Model for Market Returns Distribution

Chu Thuy Anh; Do Hong Lien; Nguyen Ai Viet

doi:10.15625/0868-3166/23/2/2382

Simple Model for Market Returns Distribution

Chu Thuy Anh, Do Hong Lien, Nguyen Ai Viet

Author affiliations

Authors

Chu Thuy Anh Institute of Physics, VAST
Do Hong Lien Ha Nam Teacher Training College, Ha Nam, Vietnam
Nguyen Ai Viet Institute of Physics, VAST

DOI:

https://doi.org/10.15625/0868-3166/23/2/2382

Abstract

It has been observed that at the large time scales the distributionof stock market returns is convergent from Boltzmann distribution to Gaussianasymptotic one. To explain this universal phenomenon, we propose a new andsimple dynamic model to describe this convergence by the time parameter inassociation with the introducing the concept of relaxation time for nancialmarkets. The analysis of stock market data packages in dierent time intervalsshowed that our model ts well the nancial market data. The meaning ofso{called relaxation time has been qualitatively made clear, as a measure toestimate the stability of the market.

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Published

08-05-2013

How to Cite

[1]

C. T. Anh, D. H. Lien, and N. A. Viet, “Simple Model for Market Returns Distribution”, Comm. Phys., vol. 23, no. 2, p. 185, May 2013.

IEEE

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Issue

Vol. 23 No. 2 (2013)

Section

Papers

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