Scaling and correlation in financial time series

Physica A: Statistical Mechanics and its Applications

Volumn 287, Issue 3-4, 2000, Pages 362-373

  Gopikrishnan, P ^a   Plerou, V ^a   Liu, Y ^a   Amaral, L A N ^a   Gabaix, X ^b,c   Stanley, H E ^a  

^a Boston University   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^c UNIVERSITY OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; CORRELATION METHODS; FINANCIAL DATA PROCESSING; PROBABILITY DENSITY FUNCTION; TIME SERIES ANALYSIS;

ECONOPHYSICS; LEVY DISTRIBUTIONS; STOCK PRICE FLUCTUATIONS;

STATISTICAL MECHANICS;

EID: 0034502120     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(00)00375-7     Document Type: Article

References (106)

1. Bachelier L. Ann. Sci. École Norm. Sup. 3:1990;21.
2. V. Pareto, Cours d'Économie Politique, Lausanne and Paris, 1897.
3. Lévy P. Théorie de l'Addition des Variables Aléatoires. 1937;Gauthier-Villars, Paris.
4. Mandelbrot B.B. J. Bus. 36:1963;294.
5. Mantegna R.N., Stanley H.E. An Introduction to Econophysics: Correlations and Complexity in Finance. 1999;Cambridge University Press, Cambridge.
6. Bouchaud J.P., Potters M. Theory of Financial Risk. 2000. Cambridge University Press, Cambridge.
7. Farmer J.D. Physicists attempt to scale the ivory towers of finance. Comput. Sci. Eng. 1:1999;26-39.
8. Kondor I., Kértesz (Eds.) J. Econophysics: An Emerging Science. 1999. Kluwer, Dordrecht.
9. R.N. Mantegna (Ed.), Proceedings of the International Workshop on Econophysics and Statistical Finance, Physica A (special issue) 269 (1991) 1.
10. J.-P. Bouchaud, P. Alström, K.B. Lauritsen (Ed.), Application of Physics in Financial Analysis, Int. J. Theor. Appl. Finance (special issue) 3 (2000).
11. Lux T., Marchesi M. Nature. 297:1999;498.
12. Lux T. J. Econ. Behav. Organ. 33:1998;143.
13. Lux T. J. Econ. Dyn. Control. 22:1997;1.
14. Lux T. Appl. Econ. Lett. 3:1996;701.
15. Levy M., Levy H., Solomon S. Econ. Lett. 45:1994;103.
16. Levy M., Solomon S. Int. J. Mod. Phys C. 7:1996;65.
17. Bouchaud J.-P., Cont R. Eur. Phys. J. B. 6:1998;543.
18. Potters M., Cont R., Bouchaud J.-P. Europhys. Lett. 41:1998;239.
19. Bouchaud J.-P., Sornette D. J. Phys. I (France). 4:1994;863.
20. Sornette D., Johansen A., Bouchaud J.-P. J. Phys. I (France). 6:1996;167.
21. Sornette D., Johansen A. Physica A. 261:1998;581.
22. Sornette D. Physica A. 256:1998;251.
23. Johansen A., Sornette D. Risk. 1:1999;91.
24. Stauffer D. Ann. Phys.-Berlin. 7:1998;529.
25. Stauffer D., Penna T.J.P. Physica A. 256:1998;284.
26. Chowdhury D., Stauffer D. Eur. Phys. J. B. 8:1999;477.
27. Chang I., Stauffer D. Physica A. 264:1999;1.
28. Stauffer D., Penna T.J.P. Physica A. 256:1998;284.
29. Stauffer D., de Oliveria P.M.C., Bernardes A.T. Int. J. Theor. Appl. Finance. 2:1999;83.
30. Marsili M., Zhang Y.-C. Phys. Rev. Lett. 80:1998;2741.
31. Caldarelli G., Marsili M., Zhang Y.-C. Europhys. Lett. 40:1997;479.
32. Galluccio S., Calderelli G., Marsili M., Zhang Y.-C. Physica A. 245:1997;423.
33. Marsili M., Maslov S., Zhang Y.-C. Physica A. 253:1998;403.
34. Maslov S., Zhang Y.-C. Physica A. 262:1999;232.
35. Challet D., Zhang Y.C. Physica A. 256:1998;514.
36. Bak P., Paczuski M., Shubik M. Physica A. 246:1997;430.
37. Mantegna R.N., Stanley H.E. Nature. 376:1995;46.
38. Ghashghaie S., Breymann W., Peinke J., Talkner P., Dodge Y. Nature. 381:1996;767.
39. Mantegna R.N., Stanley H.E. Nature. 383:1996;587.
40. Mantegna R.N., Stanley H.E. Physica A. 239:1997;255.
41. Arneodo A., Muzy J.-F., Sornette D. Eur. Phys. J. B. 2:1998;277.
42. M. Pasquini, M. Serva, cond-mat / 9810232; cond-mat / 9903334.
43. Dacorogna M.M., Muller U.A., Nagler R.J., Olsen R.B., Pictet O.V. J. Int. Money Finance. 12:1993;413.
44. See the Olsen website at http: // www.olsen.ch for related papers.
45. R. Cont, Statistical finance: empirical study and theoretical modeling of price variations in financial markets, Ph.D. Thesis, Universite de Paris XI, 1998 (cond-mat / 9705075).
46. R. Cont, M. Potters, J.-P. Bouchaud, in: B. Dubrulle, F. Graner, D. Sornette (Eds.), Scale Invariance and Beyond, Springer, Berlin, 1997.
47. Vandewalle N., Ausloos M. Int. J. Mod. Phys. C. 9:1998;711.
48. Vandewalle N., Ausloos M. Eur. Phys. J. B. 4:1998;257.
49. Vandewalle N., Boveroux P., Minguet A., Ausloos M. Physica A. 255:1998;201.
50. Takayasu H., Sato A.H., Takayasu M. Phys. Rev. Lett. 79:1997;966.
51. Takayasu H., Miura H., Hirabayashi T., Hamada K. Physica A. 184:1992;127.
52. K.N. Ilinski, A.S. Stepanenko, cond-mat / 9806138.
53. K.N. Ilinski, cond-mat / 9902046.
54. K.N. Ilinski, cond-mat / 9903142.
55. Galluccio S., Bouchaud J.-P., Potters M. Physica A. 259:1998;449.
56. Laloux L., Cizeau P., Bouchaud J.-P., Potters M. Phys. Rev. Lett. 83:1999;1469.
57. Plerou V., Gopikrishnan P., Rosenow B., Amaral L.A.N., Stanley H.E. Phys. Rev. Lett. 83:1999;1471.
58. Stanley M.H.R., Amaral L.A.N., Buldyrev S.V., Havlin S., Leschhorn H., Maass P., Salinger M.A., Stanley H.E. Nature. 379:1996;804.
59. Lee Y., Amaral L.A.N., Canning D., Meyer M., Stanley H.E. Phys. Rev. Lett. 81:1998;3275.
60. Plerou V., Amaral L.A.N., Gopikrishnan P., Meyer M., Stanley H.E. Nature. 400:1999;433-437.
61. Buldyrev S.V., Amaral L.A.N., Havlin S., Leschhorn H., Maass P., Salinger M.A., Stanley H.E., Stanley M.H.R. J. Phys. I (France). 7:1997;635.
62. Amaral L.A.N., Buldyrev S.V., Havlin S., Salinger M.A., Stanley H.E. Phys. Rev. Lett. 80:1998;1385.
63. Pagan A. J. Empirical Finance. 3:1996;15.
64. R.N. Mantegna, Physica A 179 (1991) 232; J. Skjeltrop, University of Oslo Thesis, Oslo, Norway, 1998.
65. R.N. Mantegna, Physica A 179 (1991) 232; J. Skjeltrop, University of Oslo Thesis, Oslo, Norway, 1998.
66. Kim G.W., Markowitz H.M. J. Portfolio Manage. 16:1989;45.
67. Elton E.J., Gruber M.J. Modern Portfolio Theory and Investment Analysis. 1995;Wiley, New York.
68. J.-P. Bouchaud, cond-mat / 9806101.
69. D.F. Wang, cond-mat / 9807066.
70. D.F. Wang, cond-mat / 9809045.
71. M. Rosa-Clot, S. Taddei, cond-mat / 9901277.
72. M. Rosa-Clot, S. Taddei, cond-mat / 9901279.
73. B.E. Baaquie, cond-mat / 9708178.
74. R. Cont, cond-mat / 9902018.
75. Black F., Scholes M. J. Political Econ. 81:1973;637.
76. Lux T. Appl. Financial Econ. 6:1996;463-475.
77. Gopikrishnan P., Meyer M., Amaral L.A.N., Stanley H.E. Eur. Phys. J. B. 3:1998;139.
78. Gopikrishnan P., Plerou V., Amaral L.A.N., Meyer M., Stanley H.E. Phys. Rev. E. 60:1999;5305.
79. Plerou V., Gopikrishnan P., Amaral L.A.N., Meyer M., Stanley H.E. Phys. Rev. E. 60:1999;6519.
80. M.M. Dacorogna, U.A. Muller, O.V. Pictet, C.G. de Vries, Olsen group, www.olsen.ch.
81. Z. Ding, C.W.J. Granger, R.F. Engle, J. Empirical Finance 1 (1983) 83; For foreign exchange markets the decay time is even smaller [43].
82. Fama E.-F. J. Finance. 25:1970;383.
83. Liu Y., Cizeau P., Meyer M., Peng C.-K., Stanley H.E. Physica A. 245:1997;437.
84. Liu Y., Gopikrishnan P., Cizeau P., Meyer M., Peng C.-K., Stanley H.E. Phys. Rev. E. 60:1999;1390-1400.
85. Bollerslev T., Chou R.Y., Kroner K.F. J. Econometrics. 52:1992;5.
86. Schwert G.W. J. Finance. 44:1989;1115.
87. Gallant A.R., Rossi P.E., Tauchen G. Rev. Financial Stud. 5:1992;199.
88. Le Baron B. J. Bus. 65:1992;199.
89. Chan K., Chan K.C., Karolyi G.A. Rev. Financial Stud. 4:1991;657.
90. Granger C.W.J., Ding Z. J. Econometrics. 73:1996;61.
91. L. Calvet et. al., Rev. Econ. Stat. (2000), forthcoming.
92. Cizeau P., Liu Y., Meyer M., Peng C.-K., Stanley H.E. Physica A. 245:1997;441.
93. Beran J. Statistics for Long-Memory Processes. 1994;Chapman & Hall, New York.
94. Engle R.F. Econometrica. 50:1982;987.
95. Ballie R. J. Econometrics. 17:1991;223.
96. Clark P.K. Econometrica. 41:1973;135-155.
97. Mandelbrot B.B., Taylor H. Oper. Research. 15:1962;1057-1062.
98. Epps T.W., Epps M.L. Econometrica. 44:1976;305-321.
99. Tauchen G., Pitts M. Econometrica. 57:1983;485-505.
100. Stock J. J. Am. Stat. Assoc. 83:1988;77-85.
101. D.M. Guillaume, O.V. Pictet, U.A. Muller, M.M. Dacorogna, Unveiling non-linearities through time scale transformations, Olsen group preprint OVP.1994-06-26, 1995.
102. T. Ane, H. Geman, J. Finance (2000) , forthcoming.
103. E. Ghysels, A. Harvey, E. Renault, in: G.S. Maddala (Ed.), Handbook of Statistics Vol. 14, Statistical Methods in Finance, North-Holland, Amsterdam, 1996, p. 119.
104. Jones C., Gautam K., Lipson M. Rev. Finance Stud. 7:1994;631.
105. V. Plerou, P. Gopikrishnan, L.A. Amaral, X. Gabaix, H.E. Stanley, preprint cond-mat / 9912051.
106. Peng C.-K.et al. Phys. Rev. E. 49:1994;1685.