Coarse-graining and self-similarity of price fluctuations

Physica A: Statistical Mechanics and its Applications

Volumn 294, Issue 3-4, 2001, Pages 439-446

  Fujiwara, Yoshi ^a   Fujisaka, Hirokazu ^b  

^a Commun Res Laboratory 619 0289 ^*  (Japan)

^b KYOTO UNIVERSITY   (Japan)

Author keywords

Cram r function; Econophysics; Large deviation theory; Self similarity; Volatility

Indexed keywords

COSTS; FUNCTIONS; NUMERICAL ANALYSIS; STATISTICAL METHODS;

CRAMER FUNCTION; ECONOPHYSICS; LARGE DEVIATION THEORY; PRICE FLUCTUATIONS;

ECONOMICS;

EID: 0035873052     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(01)00135-2     Document Type: Article

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