Stock index dynamics worldwide: a comparative analysis |
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Authors: | A A G Cortines C Anteneodo R Riera |
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Institution: | (1) Department of Business Administration, Athens University of Economics and Business, 76 Patission Street, GR-10434 Athens, Greece |
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Abstract: | We perform a comparative analysis of twenty-four daily stock indices across the world, encompassing developed and emerging
markets. We compute, directly from the return empirical time series, the Kramers-Moyal (KM) expansion coefficients that govern
the evolution of the probability density function of returns throughout timelags. Our study discloses universal patterns of
the KM coefficients, which can be described in terms of a few microscopic parameters. These parameters allow to quantify features
such as deviations from Gaussianity or from efficiency, providing a tool to discriminate market dynamics. |
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