IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-0102301.html
   My bibliography  Save this paper

A process-reconstruction analysis of market fluctuations

Author

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

Abstract

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.

Suggested Citation

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

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/0102301
    File Function: Latest version
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rui Vilela Mendes & M. J. Oliveira, 2006. "A data-reconstructed fractional volatility model," Papers math/0602013, arXiv.org, revised Jun 2007.
    2. Tanya Araújo & Paulo Barbosa, 2024. "Reconstructing Cryptocurrency Processes via Markov Chains," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2509-2521, October.
    3. Hugo C. Mendes & Alberto Murta & R. Vilela Mendes, 2015. "Long Range Dependence And The Dynamics Of Exploited Fish Populations," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 18(07n08), pages 1-14, November.
    4. Vilela Mendes, R. & Araújo, Tanya & Louçã, Francisco, 2003. "Reconstructing an economic space from a market metric," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 635-650.
    5. Vilela Mendes, R. & Oliveira, M.J. & Rodrigues, A.M., 2015. "No-arbitrage, leverage and completeness in a fractional volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 470-478.
    6. Mansur Filho, J.C. & Silva, A.G. & Carvalho, A.T.G. & Martins, M.L., 2005. "Electrocrystallization under magnetic fields: experiment and model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 393-406.
    7. Tanya Ara'ujo & Paulo Barbosa, 2023. "Reconstructing cryptocurrency processes via Markov chains," Papers 2308.07626, arXiv.org.
    8. R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012. "The fractional volatility model: No-arbitrage, leverage and completeness," Papers 1205.2866, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/0102301. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.