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Scale invariance and criticality in financial markets

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  • Marsili, Matteo

Abstract

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.

Suggested Citation

  • Marsili, Matteo, 2003. "Scale invariance and criticality in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 17-24.
  • Handle: RePEc:eee:phsmap:v:324:y:2003:i:1:p:17-24
    DOI: 10.1016/S0378-4371(02)01908-8
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    Cited by:

    1. Gilles Zumbach, 2004. "How the trading activity scales with the company sizes in the FTSE 100," Papers cond-mat/0407769, arXiv.org.
    2. Carlos León, 2014. "Scale-free tails in Colombian financial indexes: a primer," BORRADORES DE ECONOMIA 011144, BANCO DE LA REPÚBLICA.

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