Dynamics of the number of trades of financial securities

Physica A: Statistical Mechanics and its Applications

Volumn 280, Issue 1, 2000, Pages 136-141

  Bonanno, Giovanni ^a   Lillo, Fabrizio ^a   Mantegna, Rosario N ^b  

^a INFM   (Italy)

^b UNIVERSITY OF PALERMO   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCE; RANDOM PROCESSES;

ECONOPHYSICS; STOCK EXCHANGE;

PHYSICS;

EID: 0033744447     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(99)00629-9     Document Type: Article

References (8)

1. Mantegna R.N., Stanley H.E. An Introduction to Econophysics: Correlations and Complexity in Finance. 1999;Cambridge Univ. Press, Cambridge.
2. R.N. Mantegna (Ed.), Proceedings of the International Workshop on Econophysics and Statistical Finance Physica A 269 (1) (1999) pp. 1-183.
3. J.P. Bouchaud (Ed.), Proceedings of the International Conference on Application of Physics in Financial Analysis, Int. J. Theoret. Appl. Finance 2000, in press.
4. New York Stock Exchange, The Trade and Quote Database, New York, http: // www.nyse.com / marketinfo / taqdatabase.html.
5. Cootner (Ed.) P.H. The Random Character of Stock Market Prices. 1964;MIT Press, Cambridge, MA.
6. Samuelson P.A. Ind. Manage. Rev. 6:1965;41.
7. Press W.H. Comments Astrophys. 7:1978;103.
8. Mandelbrot B.B. Multifractals and. 1/F Noise: Wild Self-Affinity in Physics (1963-1976):1999;Springer, Berlin.