Short Comprehensive Report on the Non-Brownian Stochastic Dynamics at Financial and Commodity Markets

T. Ciepliński, A. Dominiczak, and R. Kutner Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, PL-00681 Warsaw, Poland

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In this work we empirically verify the generic breaking of the Central Limit Theorem on the financial and commodity markets. We analysed the distributions of log-returns for typical indices and price of gold, for increasing time horizons. We considered Random Coarse Graining Transformation of the Continuous-Time Random Walk model, which can represent the non-Gaussian price dynamics of underlying assets and the corresponding derivatives, e.g., various options or future contracts. We confirmed that empirical data and predictions of the model quite well agree.

DOI: 10.12693/APhysPolA.121.B-24 PACS numbers: 89.20.-a, 89.65 Gh, 02.50.Ey, 02.50.Ga, 05.40.Fb