Langevin dynamics of financial systems: A second-order analysis

We address the issue of stock market fluctuations within Langevin Dynamics (LD) and the thermodynamics definitions of multifractality in order to stud y its second-order characterization given by the analogous specific heat C- q, where q is an analogous temperature relating the moments of the generati ng partition function for the financial data signals. Due to non-linear and additive noise terms within the LD, we found that C-q can display a should er to the right of its main peak as also found in the S&P500 historical dat a which may resemble a classical phase transition at a critical point.