On the origin of power-law fluctuations in stock prices

DOI10.1088/1469-7688/4/1/C02zbMath1405.91567arXivcond-mat/0403067OpenAlexW2025065475MaRDI QIDQ4647592

Vasiliki Plerou, H. Eugene Stanley, Parameswaran Gopikrishnan, Xavier Gabaix

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0403067

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (10)

Level crossing analysis of the stock markets ⋮ Quantifying and understanding the economics of large financial movements ⋮ What really causes large price changes? ⋮ Price dynamics in an order-driven market with Bayesian learning ⋮ Stylized facts of price gaps in limit order books ⋮ Statistical theory of the continuous double auction ⋮ On the origin of power-law tails in price fluctuations ⋮ On the origin of power-law fluctuations in stock prices ⋮ The impact of heterogeneous trading rules on the limit order book and order flows ⋮ Analysis of a decision model in the context of equilibrium pricing and order book pricing

Cites Work

• Quantifying and understanding the economics of large financial movements
• Understanding the cubic and half-cubic laws of financial fluctuations
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• On the origin of power-law tails in price fluctuations
• On the origin of power-law fluctuations in stock prices

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