Scale invariance and criticality in financial markets
We discuss the evidences supporting the view of financial markets as system operating close to a critical point. From the theoretical side, this picture is based on detailed knowledge of the behavior of Minority Games. These are models of heterogeneous agents interacting through a market mechanism which can be solved analytically with tools of statistical mechanics. From the empirical side, we extend these evidences showing that market sector structure is itself scale invariant. Scale invariant features also appear in the classification of states in the time domain.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 324 (2003)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|