Power law distributions and dynamic behaviour of stock markets

European Physical Journal B

Volumn 20, Issue 4, 2001, Pages 523-526

  Richmond, P ^a  

^a TRINITY COLLEGE DUBLIN   (Ireland)

Author keywords

05.10.Gg Stochastic analysis methods (Fokker Planck, Langevin, etc.); 89.65.Gh Economics, business, and financial markets

Indexed keywords

EID: 0001660587     PISSN: 14346028     EISSN: None     Source Type: Journal    
DOI: 10.1007/PL00011108     Document Type: Article

References (14)

1. R.N. Mantegna, H.E. Stanley, Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, UK, 1999).
2. J.-P. Bouchaud, M. Potters, Theory of Financial Risks - From Statistical Physics to Risk Management (Cambridge University Press, Cambridge, 2000), http://www.science-finance.fr.
3. B.B. Mandelbrot, J. Business 36, 34 (1965).
4. E.F. Fama, J Business 38, 35 (1965).
5. J.D. Farmer, Comput. Sci. Eng. November/December, 26 (1999).
6. R.N. Mantegna, H.E. Stanley, Nature 376, 46 (1995).
7. P. Gopikrishnan et al., Eur. Phys. J. B 3, 139 (1998).
8. J.-P. Bouchaud, R. Cont, A. Langevin, Eur. Phys. J B 6, 543 (1998).
9. T. Lux, M. Marchesi, Nature 397, 498 (1999).
10. G. Iori, Int. J. Theor. Appl. Fin. 3, 467 (2000).
11. O. Biham, O. Malcai, M. Levy, S. Solomon, Phys. Rev. E 58, 1352 (1998).
12. J. Zinn-Justin, Quantum Field Theory and Critical Phenomena (Oxford Science Publications, 1996), Chapt. 4.
13. A. Ponzi, Y. Aizawa, Proceedings of Third Tohwa Conference on Statistical Physics (Nov. 1999), cond-mat/9911428.
14. Z.-F. Huang, Eur. Phys. J. B 16, 379 (2000).