The financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a market in long terms, such as year intervals, is different from that in short terms (months, quarters).

The short term behaviour (microscale) is subject to a normal distribution, while long term (macroscale) seems not to resemble that one. Long term behaviour of cotton market stimulated Mandelbrot (1963) to go off the Bachelier Brownian motion analogy of the market by using a fractal representation with a Pareto-Levy stable distribution.

In the present contribution we propose to use a two scale homogenisation method to describe an average behaviour of a financial market in a long time.

A diffusion equation with a time dependent diffusion coefficient that describes the fluctuations of the financial market, is subject to a two-scale homogenisation, and long term characteristics of the market such as mean behaviour of price and variance, are obtained.

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