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Journal of Physics: Conference Series 537, 012005 (2014)

ISSN: 1742-6588

Boltzmann–Gaussian Transition under Specific Noise Effect

Chu Thuy Anh, Nguyen Tri Lan and Nguyen Ai Viet

It is observed that a short time data set of market returns presents almost symmetric Boltzmann distribution whereas a long time data set tends to show a Gaussian distribution. To understand this universal phenomenon, many hypotheses which are spreading in a wide range of interdisciplinary research were proposed. In current work, the effects of background fluctuations on symmetric Boltzmann distribution is investigated. The numerical calculation is performed to show that the Gaussian noise may cause the transition from initial Boltzmann distribution to Gaussian one. The obtained results would reflect non–dynamic nature of the transition under consideration.

DOI: 10.1088/1742-6596/537/1/012005