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Volumn 383, Issue 2, 2007, Pages 513-518

Boltzmann distribution and market temperature

Author keywords

[No Author keywords available]

Indexed keywords

GAUSSIAN NOISE (ELECTRONIC); GRAPHIC METHODS; STATISTICAL MECHANICS; VAPORIZATION;

EID: 34447097715     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.04.101     Document Type: Article
Times cited : (17)

References (30)
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    • (1994) Phys. Rev. Lett. , vol.73 , pp. 2949
    • Mantegna, R.N.1    Stanley, H.E.2
  • 2
    • 8344223565 scopus 로고
    • Scaling behaviour in the dynamics of an economic index
    • Mantegna R.N., and Stanley H.E. Scaling behaviour in the dynamics of an economic index. Nature 376 (1995) 46
    • (1995) Nature , vol.376 , pp. 46
    • Mantegna, R.N.1    Stanley, H.E.2
  • 3
    • 0031256686 scopus 로고    scopus 로고
    • Econophysics: scaling and its breakdown in finance
    • Mantegna R.N., and Stanley H.E. Econophysics: scaling and its breakdown in finance. J. Stat. Phys 89 (1997) 469
    • (1997) J. Stat. Phys , vol.89 , pp. 469
    • Mantegna, R.N.1    Stanley, H.E.2
  • 5
    • 9744261087 scopus 로고    scopus 로고
    • Elements for a theory of financial risk
    • Bouchaud J.-P., and Cont R. Elements for a theory of financial risk. Physica A 263 (1999) 415
    • (1999) Physica A , vol.263 , pp. 415
    • Bouchaud, J.-P.1    Cont, R.2
  • 6
    • 0032309756 scopus 로고    scopus 로고
    • A Langevin approach to stock market fluctuations and crashes
    • Bouchaud J.-P., and Cont R. A Langevin approach to stock market fluctuations and crashes. Eur. Phys. J. B 6 (1998) 543
    • (1998) Eur. Phys. J. B , vol.6 , pp. 543
    • Bouchaud, J.-P.1    Cont, R.2
  • 13
    • 0037562147 scopus 로고    scopus 로고
    • Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
    • Silva A.C., and Yakovenko V.M. Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes. Physica A 324 (2003) 303
    • (2003) Physica A , vol.324 , pp. 303
    • Silva, A.C.1    Yakovenko, V.M.2
  • 18
    • 0037900861 scopus 로고    scopus 로고
    • Nonextensive Statistical Mechanics and Economics
    • (cond-mat/030130)
    • Tsallis C., Anteneodo C., Borland L., and Osorio R. Nonextensive Statistical Mechanics and Economics. Physica A 324 (2003) 89 (cond-mat/030130)
    • (2003) Physica A , vol.324 , pp. 89
    • Tsallis, C.1    Anteneodo, C.2    Borland, L.3    Osorio, R.4
  • 19
    • 0037179357 scopus 로고    scopus 로고
    • and references therein
    • Borland L. Phys. Rev. Lett. 89 (2002) 098701 and references therein
    • (2002) Phys. Rev. Lett. , vol.89 , pp. 098701
    • Borland, L.1
  • 24
    • 34447098159 scopus 로고    scopus 로고
    • In the literature the exponential distribution is sometimes referred to as Laplace distribution. One also finds the name double-exponential distribution which emphasizes the fact that there are two in general different branches, one for positive and one for negative returns, which we equated in this paper, for simplicity.
  • 25
    • 5444221474 scopus 로고    scopus 로고
    • Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact
    • Silva A.C., Prange R.E., and Yakovenko V.M. Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact. Physica A 344 (2004) 227
    • (2004) Physica A , vol.344 , pp. 227
    • Silva, A.C.1    Prange, R.E.2    Yakovenko, V.M.3
  • 26
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    • A.C. Silva, V.M. Yakovenko, Stochastic volatility of financial markets as the fluctuating rate of trading: an empirical study, physics/0608299.
  • 27
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    • Our data are taken from 〈www.tickdata.com〉.
  • 30
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    • Yahoo Finance 〈finance.yahoo.com〉. To download data, enter in the symbol box: ̂DJI, and then click on the link: Download Spreadsheet.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.