LEVY WALKS AND ENHANCED DIFFUSION IN MILAN STOCK-EXCHANGE

We perform statistical analyses of the general and sectorial historical M.I.B. indices of the Milan stock exchange. Our analyses show that the price indices have statistical properties which are compatible with a Levy random walk. The time evolution of the daily variations of indices is intermittent on a time scale of years and the variance of almost all indices displays a superdiffusive behavior. By using the theory of enhanced diffusion in Levy walks as theoretical framework we ascribe the superdiffusive behavior to a nonlocal memory coupling price and time.