Anomalous scaling of stock price dynamics within ARCH-models

European Physical Journal B

Volumn 21, Issue 2, 2001, Pages 155-158

  Roman, H E ^a,b   Porto, M ^c   Giovanardi, N ^a,b  

^a UNIVERSITY OF MILAN   (Italy)

^b INFN SEZIONE DI MILANO   (Italy)

^c MAX PLANCK INSTITUT FÜR PHYSIK KOMPLEXER SYSTEME   (Germany)

Author keywords

02.50.Ey Stochastic processes; 05.40.Fb Random walks and Levy flights; 87.23.Ge Dynamics of social systems; 89.90.+n Other topics in areas of applied and interdisciplinary physics

Indexed keywords

EID: 0009503405     PISSN: 14346028     EISSN: None     Source Type: Journal    
DOI: 10.1007/PL00011121     Document Type: Article

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20. G.W. Schwert, J. Fin. XLIV, 1115 (1989); U.A. Müller, M.M. Dacorogna, R.B. Olsen, O.V. Pictet, M. Schwarz, C. Morgenegg, J. Bank. Fin. 14, 1189 (1990); S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, Y. Dodge, Nature 381, 767 (1996); D.M. Guillaume, M.M. Dacorogna, R.R. Davé, U.A. Müller, R.B. Olsen, O.V. Pictet, Fin. Stoch. 1, 95 (1997); P. Gopikrishnan, M. Meyer, L.A.N. Amaral, H.E. Stanley, Eur. Phys. J. B 3, 139 (1998); M. Potters, R. Cont, J.P. Bouchaud, Europhys. Lett. 41, 239 (1998); A. Arnéodo, J.F. Muzy, D. Sornette, Eur. Phys. J. B 2, 277 (1998); P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 5305 (1999); V. Plerou, P. Gopikrishnan, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 6519 (1999); V. Plerou, P. Gopikrishnan, B. Rosenow, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. Lett. 83, 1471 (1999); A. Johansen, D. Sornette, Eur. Phys. J. B 9, 167 (1999); J.V. Andersen, S. Gluzman, D. Sornette, Eur. Phys. J. B 14, 579 (2000); J.P. Bouchaud, M. Potters, M. Meyer, Eur. Phys. J. B 13, 595 (2000); R. Friedrich, J. Peinke, C. Renner, Phys. Rev. Lett. 84, 5224 (2000); J.F. Muzy, J. Delour, E. Bacry, Eur. Phys. J. B 17, 537 (2000).
21. G.W. Schwert, J. Fin. XLIV, 1115 (1989); U.A. Müller, M.M. Dacorogna, R.B. Olsen, O.V. Pictet, M. Schwarz, C. Morgenegg, J. Bank. Fin. 14, 1189 (1990); S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, Y. Dodge, Nature 381, 767 (1996); D.M. Guillaume, M.M. Dacorogna, R.R. Davé, U.A. Müller, R.B. Olsen, O.V. Pictet, Fin. Stoch. 1, 95 (1997); P. Gopikrishnan, M. Meyer, L.A.N. Amaral, H.E. Stanley, Eur. Phys. J. B 3, 139 (1998); M. Potters, R. Cont, J.P. Bouchaud, Europhys. Lett. 41, 239 (1998); A. Arnéodo, J.F. Muzy, D. Sornette, Eur. Phys. J. B 2, 277 (1998); P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 5305 (1999); V. Plerou, P. Gopikrishnan, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 6519 (1999); V. Plerou, P. Gopikrishnan, B. Rosenow, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. Lett. 83, 1471 (1999); A. Johansen, D. Sornette, Eur. Phys. J. B 9, 167 (1999); J.V. Andersen, S. Gluzman, D. Sornette, Eur. Phys. J. B 14, 579 (2000); J.P. Bouchaud, M. Potters, M. Meyer, Eur. Phys. J. B 13, 595 (2000); R. Friedrich, J. Peinke, C. Renner, Phys. Rev. Lett. 84, 5224 (2000); J.F. Muzy, J. Delour, E. Bacry, Eur. Phys. J. B 17, 537 (2000).
22. G.W. Schwert, J. Fin. XLIV, 1115 (1989); U.A. Müller, M.M. Dacorogna, R.B. Olsen, O.V. Pictet, M. Schwarz, C. Morgenegg, J. Bank. Fin. 14, 1189 (1990); S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, Y. Dodge, Nature 381, 767 (1996); D.M. Guillaume, M.M. Dacorogna, R.R. Davé, U.A. Müller, R.B. Olsen, O.V. Pictet, Fin. Stoch. 1, 95 (1997); P. Gopikrishnan, M. Meyer, L.A.N. Amaral, H.E. Stanley, Eur. Phys. J. B 3, 139 (1998); M. Potters, R. Cont, J.P. Bouchaud, Europhys. Lett. 41, 239 (1998); A. Arnéodo, J.F. Muzy, D. Sornette, Eur. Phys. J. B 2, 277 (1998); P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 5305 (1999); V. Plerou, P. Gopikrishnan, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 6519 (1999); V. Plerou, P. Gopikrishnan, B. Rosenow, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. Lett. 83, 1471 (1999); A. Johansen, D. Sornette, Eur. Phys. J. B 9, 167 (1999); J.V. Andersen, S. Gluzman, D. Sornette, Eur. Phys. J. B 14, 579 (2000); J.P. Bouchaud, M. Potters, M. Meyer, Eur. Phys. J. B 13, 595 (2000); R. Friedrich, J. Peinke, C. Renner, Phys. Rev. Lett. 84, 5224 (2000); J.F. Muzy, J. Delour, E. Bacry, Eur. Phys. J. B 17, 537 (2000).
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25. G.W. Schwert, J. Fin. XLIV, 1115 (1989); U.A. Müller, M.M. Dacorogna, R.B. Olsen, O.V. Pictet, M. Schwarz, C. Morgenegg, J. Bank. Fin. 14, 1189 (1990); S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, Y. Dodge, Nature 381, 767 (1996); D.M. Guillaume, M.M. Dacorogna, R.R. Davé, U.A. Müller, R.B. Olsen, O.V. Pictet, Fin. Stoch. 1, 95 (1997); P. Gopikrishnan, M. Meyer, L.A.N. Amaral, H.E. Stanley, Eur. Phys. J. B 3, 139 (1998); M. Potters, R. Cont, J.P. Bouchaud, Europhys. Lett. 41, 239 (1998); A. Arnéodo, J.F. Muzy, D. Sornette, Eur. Phys. J. B 2, 277 (1998); P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 5305 (1999); V. Plerou, P. Gopikrishnan, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 6519 (1999); V. Plerou, P. Gopikrishnan, B. Rosenow, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. Lett. 83, 1471 (1999); A. Johansen, D. Sornette, Eur. Phys. J. B 9, 167 (1999); J.V. Andersen, S. Gluzman, D. Sornette, Eur. Phys. J. B 14, 579 (2000); J.P. Bouchaud, M. Potters, M. Meyer, Eur. Phys. J. B 13, 595 (2000); R. Friedrich, J. Peinke, C. Renner, Phys. Rev. Lett. 84, 5224 (2000); J.F. Muzy, J. Delour, E. Bacry, Eur. Phys. J. B 17, 537 (2000).
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27. G.W. Schwert, J. Fin. XLIV, 1115 (1989); U.A. Müller, M.M. Dacorogna, R.B. Olsen, O.V. Pictet, M. Schwarz, C. Morgenegg, J. Bank. Fin. 14, 1189 (1990); S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, Y. Dodge, Nature 381, 767 (1996); D.M. Guillaume, M.M. Dacorogna, R.R. Davé, U.A. Müller, R.B. Olsen, O.V. Pictet, Fin. Stoch. 1, 95 (1997); P. Gopikrishnan, M. Meyer, L.A.N. Amaral, H.E. Stanley, Eur. Phys. J. B 3, 139 (1998); M. Potters, R. Cont, J.P. Bouchaud, Europhys. Lett. 41, 239 (1998); A. Arnéodo, J.F. Muzy, D. Sornette, Eur. Phys. J. B 2, 277 (1998); P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 5305 (1999); V. Plerou, P. Gopikrishnan, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 6519 (1999); V. Plerou, P. Gopikrishnan, B. Rosenow, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. Lett. 83, 1471 (1999); A. Johansen, D. Sornette, Eur. Phys. J. B 9, 167 (1999); J.V. Andersen, S. Gluzman, D. Sornette, Eur. Phys. J. B 14, 579 (2000); J.P. Bouchaud, M. Potters, M. Meyer, Eur. Phys. J. B 13, 595 (2000); R. Friedrich, J. Peinke, C. Renner, Phys. Rev. Lett. 84, 5224 (2000); J.F. Muzy, J. Delour, E. Bacry, Eur. Phys. J. B 17, 537 (2000).
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