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Levels of complexity in financial markets

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  • Giovanni Bonanno
  • Fabrizio Lillo
  • Rosario N. Mantegna

Abstract

We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather complex under several ways. Specifically, they are complex with respect to their (i) temporal and (ii) ensemble properties. Moreover, the ensemble return properties show a behavior which is specific to the nature of the trading day reflecting if it is a normal or an extreme trading day.

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  • Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2001. "Levels of complexity in financial markets," Papers cond-mat/0104369, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0104369
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    1. F. Lillo & R.N. Mantegna, 2001. "Empirical properties of the variety of a financial portfolio and the single-index model," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 20(4), pages 503-509, April.
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