doi: 10.1685/2010CAIM535

The distribution of prices in Financial Markets: a chaotic approach

Leon Zingales, Francesco Scaramuzzino

Abstract


We develop a model to study the distribution of prices in Financial markets. Our approach, introducing a term containing the rapidity of variation of price, in the discrete time reduces itself to a logistic map which exhibits a chaotic behavior. Considering a memory term we are able to reproduce the distribution of real prices in German Dax, French Cac40 and English Ftse with a good agreement. Our model outlines that, compared to the distribution of prices, economic time series can be described by means of chaotic series with a memory function.


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Communications in Applied and Industrial Mathematics
ISSN: 2038-0909