Quantifying economic fluctuations

DOI10.1016/S0378-4371(01)00504-0zbMath0989.91073OpenAlexW2011689374MaRDI QIDQ5951427

Xavier Gabaix, H. Eugene Stanley, Luis A. Nunes Amaral, Vasiliki Plerou, Parameswaran Gopikrishnan

Publication date: 6 January 2002

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(01)00504-0

zbMATH Keywords

long-range volatility correlationsprice changetrading activity

Mathematics Subject Classification ID

Trade models (91B60) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes ⋮ How trading activity scales with company size in the FTSE 100 ⋮ Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos ⋮ On the origin of power-law tails in price fluctuations ⋮ Does composite index of NYSE represents chaos in the long time scale? ⋮ The seismography of crashes in financial markets

Cites Work

• Varieties of long memory models
• The Price Variability-Volume Relationship on Speculative Markets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
• Power laws in economics and finance: some ideas from physics
• Introduction to Econophysics
• Collective behavior of stock price movements - a random matrix theory approach
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