Methods of non-extensive statistical physics in the study of chosen companies from the Polish and Portuguese stock markets treated as example of complex financial system

Łukasz Bil 1Dariusz Grech 1Magdalena A. Zienowicz 2

1. Wrocław University, Institute of Theoretical Physics (IFT UWr), pl. Maksa Borna 9, Wrocław 50-205, Poland
2. Wrocław University of Environmental and Life Sciences, Chełmońskiego 38d, Wrocław 51-630, Poland

Abstract

Methods of  non-extensive  statistical physics are used to describe quantitatively  the statistics of  returns of the chosen companies from WIG 30 on the Warsaw Stock Exchange. The  entropic approach based on the generalization of the Boltzmann-Gibbs entropy to  non-additive Tsallis q-entropy is applied and compared with long term memory effects in price returns observed via Hurst exponent value calculated within DFA (detrended fluctuation analysis) approach. The results are collected for  diversified frequency of data sampling. Then, the possibility of independent fit of probability distribution of positive and negative  returns to q-normal distribution is studied in  details. A particular emphasis is given on qualitative and quantitative description of the asymmetry   between positive and negative returns through independent fit of deformation parameter q. A qualitative and quantitative relationship between the frequency of data sampling,  the deformation parameter q of the best fitted q-normal distribution  and the corresponding main Hurst exponent H value  is provided.

 Finally, a study of return persistency for two similar large food-industrial store companies acting on Polish market (Eurocash and Jeronimo Martins (Biedronka)), however quoted on two different stock markets: Polish GPW (Eurocash) and Portuguese Euronext Lisbone (Biedronka), is done to reveal if results found for Polish stock can also be characteristic  for other developing comparable European stock .

 

 

 

 

 

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Presentation: Poster at 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Łukasz Bil
See On-line Journal of 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2015-09-08 16:17
Revised:   2015-09-10 22:44