  Distributions derived from non-extensive Tsallis statistics are closely
connected with dynamics described by a nonlinear Fokker-Planck equation. The
combination shows promise in describing stochastic processes with power-law
distributions and superdiffusive dynamics. We investigate intra-day price
changes in the S&P500 stock index within this framework by direct analysis and
by simulation. We find that the power-law tails of the distributions, and the
index's anomalously diffusing dynamics, are very accurately described by this
approach. Our results show good agreement between market data, Fokker-Planck
dynamics, and simulation. Thus the combination of the Tsallis non-extensive
entropy and the nonlinear Fokker-Planck equation unites in a very natural way
the power-law tails of the distributions and their superdiffusive dynamics.
