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Power Law Volatility Auto-Correlations in Stochastic Logistic Systems

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  • Yoram Louzoun
  • Sorin Solomon

Abstract

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Suggested Citation

  • Yoram Louzoun & Sorin Solomon, 2002. "Power Law Volatility Auto-Correlations in Stochastic Logistic Systems," Computing in Economics and Finance 2002 202, Society for Computational Economics.
    • Handle: RePEc:sce:scecf2:202
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    References listed on IDEAS

    as
    1. Levy, Haim & Levy, Moshe & Solomon, Sorin, 2000. "Microscopic Simulation of Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780124458901.
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    Cited by:

    1. Solomon Sorin & Golo Natasa, 2013. "Minsky Financial Instability, Interscale Feedback, Percolation and Marshall–Walras Disequilibrium," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 3(3), pages 167-260, October.

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    More about this item

    Keywords

    stochastic; logistic; power;
    All these keywords.

    JEL classification:

    • C - Mathematical and Quantitative Methods
    • G - Financial Economics

    NEP fields

    This paper has been announced in the following NEP Reports:

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