Coarse-graining and self-similarity of price fluctuations

DOI10.1016/S0378-4371(01)00135-2zbMath0978.91021arXivcond-mat/0101175OpenAlexW1978358560WikidataQ127955285 ScholiaQ127955285MaRDI QIDQ5935291

No author found.

Publication date: 21 June 2001

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0101175

zbMATH Keywords

stock marketCramer functionstrongly correlated regime

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents ⋮ Multifractal geometry in stock market time series

Cites Work

• A refinement of previous hypotheses concerning the local structure of turbulence in a viscous incompressible fluid at high Reynolds number
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