Scaling, correlations, and cascades in finance and turbulence

Physica A: Statistical Mechanics and its Applications

Volumn 329, Issue 1-2, 2003, Pages 213-221

  McCauley, Joseph L ^a  

^a University of Houston   (United States)

Author keywords

Business; Complex systems; Economics; Financial markets; Organization; Structures

Indexed keywords

CORRELATION METHODS; DATA REDUCTION; DIFFUSION; ECONOMICS; LARGE SCALE SYSTEMS; SOCIETIES AND INSTITUTIONS; TURBULENCE;

FINANCIAL MARKETS;

FINANCE;

EID: 0141886373     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(03)00590-9     Document Type: Article

References (23)

1. Frisch U. Turbulence. 1995;Cambridge University Press, Cambridge.
2. McCauley J.L. Physica A. 309:2002;183.
3. Halsey T.H.et al. Phys. Rev. A. 33:1987;114.
4. Feder J. Fractals. 1988;Plenum, New York.
5. Barabasi A.-B., Stanley H.E. Fractal Concepts in Surface Growth. 1995;Cambridge University Press, Cambridge.
6. Renner C., Peinke J., Friedrich R. J. Fluids Mech. 433:2000;383.
7. Dacorogna M.et al. An Introduction to High Frequency Finance. 2001;Academic Press, New York.
8. Renner C., Peinke J., Friedrich R. Physica A. 298:2001;49.
9. Ching E.S.C. Phys. Rev. E. 53:1996;5899 Stolovitsky G., Ching E.S.C. Phys. Lett. A. 255:1999;11.
10. Ching E.S.C. Phys. Rev. E. 53:1996;5899 Stolovitsky G., Ching E.S.C. Phys. Lett. A. 255:1999;11.
11. Duff G.F.D. Partial Differential Equations. 1956;University Toronto Press, Toronto.
12. G.H. Gunaratne, J.L. McCauley, A Theory for Fluctuations in Stock Prices and Valuation of their Options, 2002, submitted.
13. McCauley J.L., Gunaratne G.H. An empirical model of volatility of returns and option pricing. Physica A. 329:2003;178.
14. J.L. McCauley, Dynamics of Markets and Volatility, Cambridge University Press, Cambridge, 2003, forthcoming.
15. Mantegna R., Stanley H.E. An Introduction to Econophysics. 2000;Cambridge University Press, Cambridge.
16. Sornette D. Physica A. 290:2001;211.
17. J.L. McCauley, Why thermodynamic analogies fail in economics and finance, Physica A (2003).
18. L.-H. Tang, Proceedings of Workshop on Econophysics and Finance, Heifei, China, 2000.
19. Mandelbrot B., Cootner P. The Random Character of Stock Market Prices. 1964;MIT Press, Cambridge.
20. Mandelbrot B., Wallis J.R. Water Res. 4:1968;909 Mandelbrot B., Wallis J.R. Water Res. 5:1969;321 B. Mandelbrot, 42nd Session of the International Institute, Manila, December 1979.
21. Mandelbrot B., Wallis J.R. Water Res. 4:1968;909 Mandelbrot B., Wallis J.R. Water Res. 5:1969;321 B. Mandelbrot, 42nd Session of the International Institute, Manila, December 1979.
22. Mandelbrot B., Wallis J.R. Water Res. 4:1968;909 Mandelbrot B., Wallis J.R. Water Res. 5:1969;321 B. Mandelbrot, 42nd Session of the International Institute, Manila, December 1979.
23. J.A. Skjeltorp, Fractal scaling behaviour in the Norwegian stock market, Master of Science Thesis in Financial Economics, Norwegian School of Management, 1996.