Power, Lévy, exponential and Gaussian-like regimes in autocatalytic financial systems

European Physical Journal B

Volumn 20, Issue 4, 2001, Pages 601-607

  Huang, Z F ^a,c   Solomon, S ^b  

^a UNIVERSITY OF COLOGNE   (Germany)

^b HEBREW UNIVERSITY OF JERUSALEM   (Israel)

^c UNIVERSITY OF TORONTO   (Canada)

Author keywords

02.50. r Probability theory, stochastic processes, and statistics; 05.40.+j Fluctuation phenomena, random processes, noise, and Brownian motion; 05.70.Ln Nonequilibrium and irreversible thermodynamics

Indexed keywords

EID: 0002213383     PISSN: 14346028     EISSN: None     Source Type: Journal    
DOI: 10.1007/PL00011114     Document Type: Article

References (21)

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15. i selected for updating changes after each time step.
16. i(t)\ = MN introduces correlations between the step sizes of the Lévy process. These correlations are not taken into account in the following theoretical analysis and might account for some of its differences with respect to the numerical (and experimental) results. We thank D. Stauffer for suggesting this to us.
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18. The phenomenon that the parabola is shifted to the right is related to the fact that we used a large value for the volatility to reach faster the convergence of the numerical runs. In real financial systems this shift is unobservable for intraday fluctuations.
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