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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.

Suggested Citation

  • 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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    References listed on IDEAS

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    Cited by:

    1. Tangmongkollert, K. & Suwanna, S., 2016. "Asset price and trade volume relation in artificial market impacted by value investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 126-133.
    2. 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.
    3. Sáez, Antonio José & Prieto, Faustino & Sarabia, José María, 2012. "A two-tail version of the PPS distribution with application to current account balance data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(21), pages 5160-5171.

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    Keywords

    Econophysics; Levy processes; Finance;

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