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A unified model for price return distributions used in econophysics

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  • Bucsa, G.
  • Jovanovic, F.
  • Schinckus, C.

Abstract

For a decade, a new theoretical movement called “econophysics” has been initiated by some physicists who began to publish articles devoted to the study of economic and financial phenomena. Since then, econophysicists have written a very prolific literature about the way of characterizing the evolution of financial prices. Today, there is an “extreme diversity” of models recently developed by econophysicists whose research is sometimes presented as an ill-defined field. The objective of this paper is precisely to provide a unified framework in order to contribute to unify econophysics and to base this new field on shared scientific standards.

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  • Bucsa, G. & Jovanovic, F. & Schinckus, C., 2011. "A unified model for price return distributions used in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3435-3443.
    • Handle: RePEc:eee:phsmap:v:390:y:2011:i:20:p:3435-3443
    DOI: 10.1016/j.physa.2011.04.012
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