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A process-reconstruction analysis of market fluctuations

Listed author(s):
  • 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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Paper provided by in its series Papers with number cond-mat/0102301.

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Date of creation: Feb 2001
Publication status: Published in Int. Journal of Theor. and Applied Finance 5 (2002) 797
Handle: RePEc:arx:papers:cond-mat/0102301
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