1
Banks analysis of financial data
Andreas P. Nawroth, Joachim Peinke
Institut fu篓
r Physik, Carl-von-Ossietzky Universita篓
t Oldenburg,
D-26111 Oldenburg, Germany
Available online 30 March 2007
Abstract
A stochastic analysis of financial data is presented. In particular we
investigate how the statistics of log returns change with different time delays
t. The scale-dependent behaviour of financial data can be divided into two
regions. The first time range, the small-timescale region (in the range of
seconds) seems to be characterised by universal features. The second time
range, the medium-timescale range from several minutes upwards can be
characterised by a cascade process, which is given by a stochastic Markov
process in the scale
蟿
. A corresponding Fokker
鈥?/p>
Planck equation can be
extracted from given data and provides a non-equilibrium thermodynamical
description of the complexity of financial data.
Keywords:
Banks; Financial markets; Stochastic processes;
Fokker
鈥?/p>
Planck equation
1.Introduction
Financial statements for banks present a different analytical problem than
manufacturing and service companies. As a result, analysis of a bank
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s