  This paper presents an empirical investigation of the intraday Brazilian
stock market price fluctuations, considering q-Gaussian distributions that
emerge from a non-extensive statistical mechanics. Our results show that, when
returns are measured over intervals less than one hour, the empirical
distributions are well fitted by q-Gaussians with exponential damped tails.
Scaling behavior is also observed for these microscopic time intervals. We find
that the time evolution of the distributions is according to a super diffusive
q-Gaussian stationary process within a nonlinear Fokker-Planck equation. This
regime breaks down due to the exponential fall-off of the tails, which in turn,
governs the transient dynamics to the long-term macroscopic Gaussian regime.
Our results suggest that this modeling provides a framework for the description
of the dynamics of stock markets intraday price fluctuations.
