Scaling and memory in volatility return intervals in financial markets

Proceedings of the National Academy of Sciences of the United States of America

Volumn 102, Issue 26, 2005, Pages 9424-9428

  Yamasaki, Kazuko ^a,b   Muchnik, Lev ^c   Havlin, Shlomo ^c   Bunde, Armin ^d   Stanley, H Eugene ^a  

^a Boston University ^*  (United States)

^b TOKYO UNIVERSITY OF INFORMATION SCIENCES   (Japan)

^c BAR ILAN UNIVERSITY   (Israel)

^d JUSTUS LIEBIG UNIVERSITY   (Germany)

Author keywords

Econophysics; Extreme values; Fluctuations; Long term correlations; Long term memory

Indexed keywords

ARTICLE; CORRELATION ANALYSIS; ECONOMICS; FINANCE; LONG TERM MEMORY; MEMORY; PRIORITY JOURNAL; PROBABILITY; STATISTICAL ANALYSIS; STATISTICAL MODEL;

EID: 21544466975     PISSN: 00278424     EISSN: None     Source Type: Journal    
DOI: 10.1073/pnas.0502613102     Document Type: Article

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