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A process-reconstruction analysis of market fluctuations


  • R. Vilela Mendes
  • R. Lima
  • T. Araujo


The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is carried out for market fluctuation processes. Gibbs measures and chains with complete connections are considered. Some other topics are also discussed, in particular the asymptotic stationarity of the processes and the behavior of statistical indicators of level (1) and (2). We end up with some remarks concerning the nature of the market fluctuation process.

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  • R. Vilela Mendes & R. Lima & T. Araujo, 2001. "A process-reconstruction analysis of market fluctuations," Papers cond-mat/0102301,
  • Handle: RePEc:arx:papers:cond-mat/0102301

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    References listed on IDEAS

    1. Stauffer, Dietrich & Sornette, Didier, 1999. "Self-organized percolation model for stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 271(3), pages 496-506.
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    Cited by:

    1. Rui Vilela Mendes & M. J. Oliveira, 2006. "A data-reconstructed fractional volatility model," Papers math/0602013,, revised Jun 2007.
    2. R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012. "The fractional volatility model: No-arbitrage, leverage and completeness," Papers 1205.2866,

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