Financial markets as adaptive systems

Europhysics Letters

Volumn 41, Issue 3, 1998, Pages 239-244

  Potters, M ^a   Cont, R ^a,b,c   Bouchaud, J P ^b,c  

^a Science and Finance   (France)

^b SERVICE DE PHYSIQUE DE L ETAT CONDENSÉ   (France)

^c CNRS   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031994286     PISSN: 02955075     EISSN: None     Source Type: Journal    
DOI: 10.1209/epl/i1998-00136-9     Document Type: Article

References (19)

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2. HULL J. C., Futures, Options and Other Derivative Securities (Prentice Hall) 1997.
3. BOUCHAUD J. P. and SORNETTE D., J. Phys. I, 4 (1994) 863.
4. BOUCHAUD J. P. and POTTERS M., Theory of Financial Risk: Portfolios, Options and Extreme Risks (Aléa-Saclay) 1997 (in rench).
5. In the presence of a non-zero average return of the stock m ≠ 0, the probability distribution P in eq. (1) must be replaced by another probability distribution Q, called the "pricing kernel". The formula relating Q to P to first order in m has been obtained in [4]. See also AURELL E. and SIMDYANKIN S., Pricing risky options simply, to be published in Int. J. Theor. Appl. Finance (1998).
6. GRANGER C. W. J. and DING Z. X., Stylized facts on the temporal distributional properties of daily data from speculative markets, Working Paper, University of California, San Diego (1994).
7. GUILLAUME D. M. et al., Finance and Stochastics, 1 (1997) 2.
8. ARNEODO A., BOUCHAUD J. P., CONT R., MUZY J. F., POTTERS M. and SORNETTE D., cond-mat/9607120 preprint, 1996.
9. CONT R., POTTERS M. and BOUCHAUD J. P., Scaling in stock market data: stable laws and beyond, in Scale Invariance and Beyond, Proceedings of the CNRS Workshop on Scale Invariance, Les Houches, March 1997.
10. CONT R., Scaling and correlation in financial data, preprint, cond-mat/9705075.
11. CIZEAU P., LIU Y., MEYER M., PENG C. K. and STANLEY H. E., Volatility distribution in the S&P 500 Stock Index, preprint, cond-mat/9708143. Using a different method, these authors find a lower value of λ ≃ 0.25.
12. ENGLE R., Econometrica, 50 (1982) 987; BOLLERSLEV T., J. Econom., 31 (1986) 307; GOURIEROUX C., Modèles ARCH et Applications financières (Economica, Paris) 1992.
13. ENGLE R., Econometrica, 50 (1982) 987; BOLLERSLEV T., J. Econom., 31 (1986) 307; GOURIEROUX C., Modèles ARCH et Applications financières (Economica, Paris) 1992.
14. ENGLE R., Econometrica, 50 (1982) 987; BOLLERSLEV T., J. Econom., 31 (1986) 307; GOURIEROUX C., Modèles ARCH et Applications financières (Economica, Paris) 1992.
15. MANTEGNA R. and STANLEY H. E., Nature, 376 (1995) 46.
16. FELLER W., An Introduction to Probability Theory and its Applications (Wiley) 1971.
17. Although in principle BS use a log-normal, rather than a normal distribution, the difference is not relevant for the present discussion. See [4] for a detailed discussion of this point.
18. JARROW R. and RUDD A., J. Financ. Econom., 10 (1982) 347.
19. CORRADO C. J. and SU T., J. Financ. Res., XIX (1996) 175.