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Levels of complexity in financial markets

Listed author(s):
  • Giovanni Bonanno
  • Fabrizio Lillo
  • Rosario N. Mantegna

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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Paper provided by in its series Papers with number cond-mat/0104369.

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Date of creation: Apr 2001
Handle: RePEc:arx:papers:cond-mat/0104369
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