Theory for long memory in supply and demand

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

Volumn 71, Issue 6, 2005, Pages

  Lillo, Fabrizio ^a,b   Mike, Szabolcs ^a,c   Farmer, J Doyne ^a  

^a SANTA FE INSTITUTE   (United States)

^b INFM   (Italy)

^c BUDAPEST UNIVERSITY OF TECHNOLOGY AND ECONOMICS   (Hungary)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKETS; LONG-MEMORY FLUCTUATIONS; POWER-LAW DECAYING AUTOCORRELATIONS;

CORRELATION METHODS; DISTRIBUTION OF GOODS; MARKETING; MATHEMATICAL MODELS;

INDUSTRIAL ECONOMICS;

EID: 27944464160     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.71.066122     Document Type: Article

References (27)

1. L. F. Richardson, Proc. R. Soc. London, Ser. A PRLAAZ 1364-5021 110, 709 (1926).
2. T Geisel, J Nierwetberg, and A Zacherl, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.54.616 54, 616 (1985).
3. C-K. Peng, S. V. Buldyrev, A. L. Goldberger, S. Havlin, F. Sciortino, M. Simons, and H. E. Stanley, Nature (London) NATUAS 0028-0836 365, 168 (1992).
4. C-K. Peng, S. V. Buldyrev, S. Havlin, M. Simons, H. E. Stanley, and A. L. Goldberger, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.49.1685 49, 1685 (1994).
5. F. J. Breidt, N. Crato, and P. J. F. de Lima J. Econometrics 83, 325 (1998).
6. Z. Ding, C. W. J. Granger, and R. F. Engle, J. Empirical Finance 0927-5398 1, 83 (1993).
7. B. Mandelbrot, Int. Econom. Rev. INERAE 0020-6598, 10, 82 (1969).
8. M. S. Taqqu and Joshua B. Levy, in Dependence in Probability and Statistics, edited by, E. Eberlein, and, M. S. Taqqu, (Birkhuser, Boston, 1986), pp. 73-89.
9. S. V. Buldyrev, A. L. Goldberger, S. Havlin, C-K. Peng, M. Simons, and H. E. Stanley, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.47.4514 47, 4514 (1993).
10. J-P. Bouchaud, Y. Gefen, M. Potters, and M. Wyart, Quant. Finance 1469-7688 4, 176 (2004).
11. F. Lillo and J. D. Farmer, Dyn. Syst. Appl. 1056-2176 8, 3 (2004).
12. A. Ott, J-P. Bouchaud, D. Langevin, and W. Urbach, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.65.2201 65, 2201 (1990).
13. J-P. Bouchaud, J. Kockelkoren, and M. Potters cond-mat/0406224 (2004)
14. L. K. C. Chan and J. Lakonishok, J. Financ. Econ. JFECDT 0304-405X 10.1016/0304-405X(93)90003-T 33, 173 (1993).
15. L. K. C. Chan and J. Lakonishok, J. Financ. JLFIAN 0022-1082 50, 1147 (1995).
16. J. P. Embrechts, C. Kluppelberg, and T. Mikosch, Modeling Extremal Events for Insurance and Finance (Springer-Verlag, Berlin, 1997).
17. W. Feller, An Introduction to Probability Theory and its Applications, 3rd ed. (Wiley, New York, 1950).
18. J. D. Farmer, L. Gillemot, F. Lillo, S. Mike, and A. Sen Sen. Quantitative Fiance 4, 383 (2004).
19. B. M. Hill, Ann. Stat. ASTSC7 0090-5364 3, 1163 (1975).
20. P. Gopikrishnan, V. Plerou, X. Gabaix, and H. E. Stanley, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.62.R4493 62, R4493 (2000).
21. X. Gabaix, P. Gopikrishnan, V. Plerou, and H. E. Stanley (unpublished).
22. I. N. Lobato and C. Velasco, J. Bus. Econ. Stat. 0735-0015 18, 410 (2000).
23. X. Gabaix, P. Gopikrishnan, V. Plerou, and H. E. Stanley, Nature (London) NATUAS 0028-0836 10.1038/nature01624 423, 267 (2003).
24. M. Levy, in The Economy as an Evolving Complex System III, edited by, S. N. Durlauf, and, L. E. Blume, (Oxford University Press, Oxford, 2005).
25. M. Levy and S. Solomon, Int. J. Mod. Phys. C IJMPEO 0129-1831 10.1142/S0129183196000491, 7, 595 (1996).
26. F. W. J. Olver, Asymptotics and Special Functions (Academic, New York, 1974).
27. M. Abramowitz, Handbook of Mathematical Functions, with Formulas, Graphs and Mathematical Tables (Dover, London, 1974).