A unified econophysics explanation for the power-law exponents of stock market activity
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DOI: 10.1016/j.physa.2007.02.030
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- Pirvu Daniela & Barbuceanu Mircea, 2016. "Recent Contributions Of The Statistical Physics In The Research Of Banking, Stock Exchange And Foreign Exchange Markets," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 85-92, April.
- Tabak, B.M. & Takami, M.Y. & Cajueiro, D.O. & Petitinga, A., 2009. "Quantifying price fluctuations in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(1), pages 59-62.
- Eric Kemp-Benedict, 2012. "Second-order Price Dynamics: Approach to Equilibrium with Perpetual Arbitrage," Papers 1202.5926, arXiv.org.
- Jovanovic, Franck & Schinckus, Christophe, 2016. "Breaking down the barriers between econophysics and financial economics," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 256-266.
- 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.
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- Niu, Hongli & Wang, Weiqing & Zhang, Junhuan, 2019. "Recurrence duration statistics and time-dependent intrinsic correlation analysis of trading volumes: A study of Chinese stock indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 838-854.
- Chansoo Kim & Daniel S Kim & Kwangwon Ahn & M Y Choi, 2017. "Dynamics of analyst forecasts and emergence of complexity: Role of information disparity," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-18, May.
- Heinrich, Torsten, 2016. "The Narrow and the Broad Approach to Evolutionary Modeling in Economics," MPRA Paper 75797, University Library of Munich, Germany.
- Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "Statistical properties of volume and calendar effects in prediction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1150-1160.
- de Mattos Neto, Paulo S.G. & Silva, David A. & Ferreira, Tiago A.E. & Cavalcanti, George D.C., 2011. "Market volatility modeling for short time window," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3444-3453.
- Ren, F. & Zheng, B. & Chen, P., 2010. "Modeling interactions of trading volumes in financial dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2744-2750.
- Coronel-Brizio, H.F. & Hernández-Montoya, A.R., 2010. "The Anderson–Darling test of fit for the power-law distribution from left-censored samples," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3508-3515.
- J. Tenreiro Machado & Fernando B. Duarte & Gonçalo Monteiro Duarte, 2012. "Power Law Analysis of Financial Index Dynamics," Discrete Dynamics in Nature and Society, Hindawi, vol. 2012, pages 1-12, July.
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- Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, December.
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Keywords
Stock market crashes; Power laws; Fat tails; Excess volatility; Fractals;All these keywords.
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