EMPIRICAL LAWS OF A STOCK PRICE INDEX AND A STOCHASTIC MODEL

DOI10.1142/S0219525903000906zbMath1100.91568MaRDI QIDQ4671141

Michiyo Kaizoji, Taisei Kaizoji

Publication date: 23 April 2005

Published in: Advances in Complex Systems (Search for Journal in Brave)

zbMATH Keywords

exponential distributionvolatilitypower-law distributionreturnsEconophysicsa stochastic model of stock marketsNikkei 225 index

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Statistical methods; economic indices and measures (91B82)

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Cites Work

• A RENEWAL PROCESS OF MITTAG-LEFFLER TYPE
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