Power-law relaxation in a complex system: Omori law after a financial market crash

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 68, Issue 1 2, 2003, Pages 161191-161195

  Lillo, F ^a   Mantegna, R N ^a,b  

^a INFM   (Italy)

^b UNIVERSITY OF PALERMO   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES;

RELAXATION DYNAMICS;

STATISTICAL METHODS;

EID: 18844481909     PISSN: 1063651X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (21)

1. F. Omori, J. Coll. Sci. Imp. Univ. Tokyo 7, 111 (1894).
2. J.-P. Bouchaud, J. Phys. I 2, 1705 (1992).
3. R.V. Chamberlin, Europhys. Lett. 33, 545 (1996).
4. S. Zapperi, A. Vespignani, and H.E. Stanley, Nature (London) 388, 658 (1997).
5. R. Metzler, E. Barkai, and J. Klafter, Phys. Rev. Lett. 82, 3563 (1999).
6. I.V. Gopich and N. Agmon, Phys. Rev. Lett. 84, 2730 (2000).
7. L.C. Sampaio et al., Phys. Rev. B 64, 184440 (2001).
8. A. Johansen, Physica A 296, 539 (2001).
9. S. Abe and N. Suzuki, Europhys. Lett. 61, 852 (2003).
10. P.A. Samuelson, Ind. Manage. Rev. 4, 41 (1965).
11. P.H. Cootner, The Random Character of Stock Market Prices (MIT Press, Cambridge, MA, 1964).
12. J. Hull and A. White, J. Financ. 42, 281 (1987).
13. J.Y. Campbell, A.W. Lo, and A.C. MacKinlay, The Econometrics of Financial Markets (Princeton University Press, Princeton, 1997).
14. F. Lillo and R.N. Mantegna, Eur. Phys. J. B 20, 503 (2000).
15. P. Embrechts, C. Klüppelberg and T. Mikosch, Modeling Extremal Events for Insurance and Finance (Springer-Verlag, Berlin, 1997).
16. T. Lux, Appl. Financ. Econom. 6, 463 (1996).
17. P. Gopikrishnan et al., Eur. Phys. J. B 3, 139 (1998).
18. D. Sornette, A. Johansen, and J.-P. Bouchaud, J. Phys. I 6, 167 (1996).
19. T. Bollerslev, J. Econometr. 31, 307 (1986).
20. F. Lillo and R.N. Mantegna, e-print cond-mat/0209685.
21. B.M. Hill, Ann. Stat. 3, 1163 (1975).