Econophysics: Scaling and its breakdown in finance

DOI10.1007/BF02770777zbMath0935.91023MaRDI QIDQ1285113

Rosario Nunzio Mantegna, H. Eugene Stanley

Publication date: 25 May 1999

Published in: Journal of Statistical Physics (Search for Journal in Brave)

zbMATH Keywords

random walksturbulencescalingfinancial marketsstock market indexLévy stable processestruncated Lévy flight

Mathematics Subject Classification ID

Related Items (5)

Ehrenfest model with large jumps in finance ⋮ Fractional reproduction-dispersal equations and heavy tail dispersal kernels ⋮ One-dimensional stable probability density functions for rational index \(0<\alpha \leqslant 2\) ⋮ Wealth redistribution with conservative exchanges ⋮ Stock market dynamics

Cites Work

• On the quadratic mapping \(z\rightarrow z^{2}-\mu \) for complex \(\mu \) and \(z\): the fractal structure of its set, and scaling
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• Aggregate fluctuations from independent sectoral shocks: self-organized criticality in a model of production and inventory dynamics
• ABSENCE OF 1/f SPECTRA IN DOW JONES DAILY AVERAGE
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
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