Dynamics of the Warsaw Stock Exchange index as analysed by the nonhomogeneous fractional relaxation equation

Marzena Kozlowska; Ryszard Kutner

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Dynamics of the Warsaw Stock Exchange index as analysed by the nonhomogeneous fractional relaxation equation

Marzena Kozlowska·Ryszard Kutner

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Abstract

We analyse the dynamics of the Warsaw Stock Exchange index WIG at a daily time horizon before and after its well defined local maxima of the cusp-like shape decorated with oscillations. The rising and falling paths of the index peaks can be described by the Mittag-Leffler function superposed with various types of oscillations. The latter is a solution of our model of index dynamics defined by the nonhomogeneous fractional relaxation equation. This solution is a generalised analog of an exactly solvable model of viscoelastic materials. We found that the Warsaw Stock Exchange can be considered as an intermediate system lying between two complex ones, defined by short and long-time limits of the Mittag-Leffler function; these limits are given by the Kohlraush-Williams-Watts law for the initial times, and the power-law or the Nutting law for asymptotic time. Hence follows the corresponding short- and long-time power-law behaviour (different universality classes) of the time-derivative of the logarithm of WIG which can in fact be viewed as the finger print of a dynamical critical phenomenon.

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Marzena Kozlowska, Ryszard Kutner. 2006-09-01. Dynamics of the Warsaw Stock Exchange index as analysed by the nonhomogeneous fractional relaxation equation. https://arxiv.org/abs/physics/0609006

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