Return intervals approach to financial fluctuations

Lecture Notes of the Institute for Computer Sciences, Social-Informatics and Telecommunications Engineering

Volumn 4 LNICST, Issue PART 1, 2009, Pages 3-27

  Wang, Fengzhong ^a   Yamasaki, Kazuko ^a,b   Havlin, Shlomo ^a,c   Stanley, H Eugene ^a  

^a Boston University   (United States)

^b TOKYO UNIVERSITY OF INFORMATION SCIENCES   (Japan)

^c BAR ILAN UNIVERSITY   (Israel)

Author keywords

Econophysics; Financial marekts; Long term correlation; Return interval; Scaling; Volatility

Indexed keywords

ECONOPHYSICSS; FINANCIAL MAREKTS; LONG-TERM CORRELATIONS; RETURN INTERVAL; SCALING; VOLATILITY;

BROWNIAN MOVEMENT; COMMERCE;

FINANCE;

EID: 84885889804     PISSN: 18678211     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-3-642-02466-5_1     Document Type: Conference Paper

References (111)

1. Pareto, V.: Cours d'Economie Politique, Lausanne and Paris (1897)
2. Bachelier, L.: Théorie de la spéculation [Ph.D. thesis in mathematics]. Annales Scientifiques de l'Ecole Normale Supérieure III-17, 21 (1900)
3. translated and Reprinted in, Cootner, P. (ed.). The Random Character of Stock Market Prices, p. 17. MIT Press, Cambridge (1967)
4. Lévy, P.: Théorie de l'Addition des Variables Aléatoires, Gauthier-Villars, Paris (1937)
5. Fama, E.F.: J. Business 36, 420 (1963)
6. Officer, R.R.: J. Amer. Statistical Assoc. 67, 807 (1972)
7. Clark, P.K.: Econometrica 41, 135 (1973)
8. Wood, R.A., McInish, T.H., Ord, J.K.: J. Finance 40, 723 (1985)
9. Harris, L.: J. Financ. Econ. 16, 99 (1986)
10. Admati, A., Pfleiderer, P.: Rev. Financ. Stud. 1, 3 (1988)
11. Schwert, G.W.: J. Finance 44, 1115 (1989);
12. Chan, K., Chan, K.C., Karolyi, G.A.: Rev. Financ. Stud. 4, 657 (1991);
13. Bollerslev, T., Chou, R.Y., Kroner, K.F.: J. Econometr. 52, 5 (1992);
14. Gallant, A.R., Rossi, P.E., Tauchen, G.: Rev. Financ. Stud. 5, 199 (1992)
15. Le Baron, B.: J. Business 65, 199 (1992)
16. Ding, Z., Granger, C.W.J., Engle, R.F.: J. Empirical Finance 1, 83 (1993)
17. Dacorogna, M.M., Muller, U.A., Nagler, R.J., Olsen, R.B., Pictet, O.V.: J. Int. Money Finance 12, 413 (1993)
18. Loretan, M., Phillips, P.C.B.: J. Empirical Finance 1, 211 (1994)
19. Pagan, A.: J. Empirical Finance 3, 15 (1996)
20. Mantegna, R.N., Stanley, H.E.: Nature 383, 587 (1996)
21. Cizeau, P., Liu, Y., Meyer, M., Peng, C.-K., Stanley, H.E.: Physica A 245, 441 (1997)
22. Cont, R.: Ph.D. thesis, Universite de Paris XI (1998) (unpublished); see also e-print cond-mat/9705075
23. Pasquini, M., Serva, M.: Econ. Lett. 65, 275 (1999)
24. Lux, T., Marchesi, M.: Int. J. Theor. Appl. Finance 3, 675 (2000);
25. Giardina, I., Bouchaud, J.-P.: Physica A 299, 28 (2001);
26. Lux, T., Ausloos, M.: In: Bunde, A., Kropp, J., Schellnhuber, H.J. (eds.) The Science of Disasters: Climate Disruptions, Heart Attacks, and Market Crashes, p. 373. Springer, Berlin (2002)
27. Rosenow, B.: Int. J. Mod. Phys. C 13, 419 (2002)
28. Gabaix, X., Gopikrishnan, P., Plerou, V., Stanley, H.E.: Nature 423, 267 (2003);
29. Gabaix, X., Gopikrishnan, P., Plerou, V., Stanley, H.E.: Quart. J. Econ. 121, 461 (2006)
30. Farmer, J.D., Gillemot, L., Lillo, F., Mike, S., Sen, A.: Quant. Finance 4, 383 (2004);
31. Farmer, J.D., Lillo, F.: ibid 4, C8, (2004);
32. Plerou, V., Gopikrishnan, P., Gabaix, X., Stanley, H.E.: ibid 4, C11 (2004)
33. Lillo, F., Farmer, J.D., Mantegna, R.N.: Nature 421, 129 (2003)
34. Weber, P., Wang, F., Vodenska-Chitkushev, I., Havlin, S., Stanley, H.E.: Phys. Rev. E 76, 016109 (2007)
35. Eisler, Z., Bartos, I., Kertész, J.: Adv. Phys. 57, 89 (2008)
36. Jung, W.-S., Kwon, O., Wang, F., Kaizoji, T., Moon, H.-T., Stanley, H.E.: Physica A 387, 537 (2008)
37. Lux, T.: Appl. Finan. Econ. 6, 463 (1996)
38. Gopikrishnan, P., Meyer, M., Amaral, L.A.N., Stanley, H.E.: Eur. Phys. J. B 3, 139 (1998)
39. Muller, U.A., Dacorogna, M.M., Pictet, O.V.: Heavy Tails in High-Frequency Financial Data. In: Adler, R.J., Feldman, R.E., Taqqu, M.S. (eds.) A Practical Guide to Heavy Tails, p. 83. Birkhäuser Publishers, Basel (1998)
40. Plerou, V., Gopikrishnan, P., Amaral, L.A.N., Meyer, M., Stanley, H.E.: Phys. Rev. E 60, 6519 (1999);
41. Plerou, V., Gopikrishnan, P., Amaral, L.A.N., Gabaix, X., Stanley, H.E.: ibid 62, 3023 (2000);
42. Gopikrishnan, P., Plerou, V., Gabaix, X., Stanley, H.E.: ibid 62, 4493 (2000)
43. Liu, Y., Gopikrishnan, P., Cizeau, P., Meyer, M., Peng, C.-K., Stanley, H.E.: Phys. Rev. E 60, 1390, (1999);
44. Plerou, V., Gopikrishnan, P., Gabaix, X., Amaral, L.A.N., Stanley, H.E.: Quant. Finance 1, 262, (2001);
45. Plerou, V., Gopikrishnan, P., Stanley, H.E.: Phys. Rev. E 71, 046131 (2005);
46. for application to heartbeat intervals see, Ashkenazy, Y., Ivanov, P.C., Havlin, S., Peng, C.-K., Goldberger, A.L., Stanley, H.E.: Phys. Rev. Lett. 86, 1900 (2001)
47. Plerou, V., Stanley, H.E.: Phys. Rev. E 76, 046109 (2007)
48. Clauset, A., Shalizi, C.R., Newman, M.E.J.: http://arxiv.org/abs/0706. 1062v1
49. Mantegna, R., Stanley, H.E.: Introduction to Econophysics: Correlations and Complexity in Finance. Cambridge Univ. Press, Cambridge (2000)
50. Mandelbrot, B.B.: J. Business 36, 394 (1963)
51. Bunde, A., Havlin, S. (eds.): Fractals in Science. Springer, Heidelberg (1994)
52. Mantegna, R.N., Stanley, H.E.: Nature 376, 46 (1995)
53. Stanley, H.E.: Introduction to Phase Transitions and Critical Phenomena. Oxford University Press, Oxford (1971)
54. Stanley, H.E.: Rev. Mod. Phys. 71, 358 (1999)
55. Peng, C.K., Buldyrev, S., Goldberger, A., Havlin, S., Sciortino, F., Simons, M., Stanley, H.E.: Nature 356, 168 (1992);
56. Buldyrev, S.V., Goldberger, A.L., Havlin, S., Peng, C.-K., Stanley, H.E., Stanley, M.H.R., Simons, M.: Biophys. J. 65, 2673 (1993);
57. Buldyrev, S.V., Goldberger, A.L., Havlin, S., Peng, C.-K., Simons, M., Stanley, H.E.: Phys. Rev. E 47, 4514 (1993);
58. Mantegna, R.N., Buldyrev, S.V., Goldberger, A.L., Havlin, S., Peng, C.-K., Simons, M., Stanley, H.E.: Phys. Rev. E 52, 2939 (1995)
59. Suki, B., Barabási, A.-L., Hantos, Z., Peták, F., Stanley, H.E.: Nature 368, 615 (1994)
60. Peng, C.K., Mietus, J., Hausdorff, J., Havlin, S., Stanley, H.E., Goldberger, A.L.: Phys. Rev. Lett. 70, 1343 (1993)
61. Makse, H.A., Havlin, S., Stanley, H.E.: Nature 377, 608 (1995)
62. Makse, H.A., Andrade, J.S., Batty, M., Havlin, S., Stanley, H.E.: Phys. Rev. E 58, 7054 (1998)
63. Plerou, V., Amaral, L.A.N., Gopikrishnan, P., Meyer, M., Stanley, H.E.: Nature 400, 433 (1999)
64. Keitt, T.H., Stanley, H.E.: Nature 393, 257 (1998);
65. Keitt, T.H., Amaral, L.A.N., Buldyrev, S.V., Stanley, H.E.: Scaling in the Growth of Geographically Subdivided Populations: Scale-Invariant Patterns from a Continent-Wide Biological Survey. Focus issue: The Biosphere as a Complex Adaptive System, Phil. Trans. Royal Soc. B: Biological Sciences 357, 627 (2002)
66. Gutenberg, B., Richter, C.F.: Seismicity of the Earth and Associated Phenomenon, 2nd edn. Princeton University Press, Princeton (1954)
67. Turcotte, D.L.: Fractals and Chaos in Geology and Geophysics. Cambridge University Press, Cambridge (1992)
68. Bunde, A., Eichner, J.F., Havlin, S., Kantelhardt, J.W.: Physica A, 342, 308 (2004)
69. Bunde, A., Eichner, J.F., Kantelhardt, J.W., Havlin, S.: Phys. Rev. Lett. 94, 048701 (2005)
70. Livina, V.N., Havlin, S., Bunde, A.: Phys. Rev. Lett. 95, 208501 (2005)
71. Eichner, J.F., Kantelhardt, J.W., Bunde, A., Havlin, S.: Phys. Rev. E 75, 011128 (2007)
72. Yamasaki, K., Muchnik, L., Havlin, S., Bunde, A., Stanley, H.E.: Proc. Natl. Acad. Sci. U.S.A. 102, 9424, (2005);
73. Yamasaki, K., Muchnik, L., Havlin, S., Bunde, A., Stanley, H.E.: In: Takayasu, H. (ed.) Proceedings of the Third Nikkei Econophysics Research Workshop and Symposium, The Fruits of Econophysics, Tokyo, p. 43. Springer, Berlin (2005)
74. Wang, F., Yamasaki, K., Havlin, S., Stanley, H.E.: Phys. Rev. E 73, 026117 (2006)
75. Wang, F., Weber, P., Yamasaki, K., Havlin, S., Stanley, H.E.: Eur. Phys. J. B 55, 123 (2007)
76. Jung, W.-S., Wang, F.Z., Havlin, S., Kaizoji, T., Moon, H.-T., Stanley, H.E.: Eur. Phys. J. B 62, 113 (2008)
77. Qiu, T., Guo, L., Chen, G.: Physica A 387, 6812 (2008)
78. Ren, F., Guo, L., Zhou, W.-X.: http://arxiv.org/abs/0807.1818v1
79. Vodenska-Chitkushev, I.,Wang, F.Z.,Weber, P., Yamasaki, K., Havlin, S., Stanley, H.E.: Eur. Phys. J. B 61, 217 (2008)
80. Bogachev, M.I., Eichner, J.F., Bunde, A.: Phys. Rev. Lett. 99, 240601 (2007)
81. Wang, F., Yamasaki, K., Havlin, S., Stanley, H.E.: Phys. Rev. E 77, 016109 (2008)
82. Wang, F., Yamasaki, K., Havlin, S., Stanley, H.E.: http://arxiv.org/abs/ 0808.3200v1
83. Ren, F., Zhou, W.-X.: http://arxiv.org/abs/0809.0250v1
84. Bogachev, M.I., Bunde, A.: Phys. Rev. E 78, 036114 (2008)
85. Black, F., Scholes, M.: J. Polit. Econ. 81, 637 (1973)
86. Cox, J.C., Ross, S.A.: J. Financ. Econ. 3, 145 (1976);
87. Cox, J.C., Ross, S.A., Rubinstein, M.: J. Financ. Econ. 7, 229 (1979)
88. Bouchaud, J.-P., Potters, M.: Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management. Cambridge Univ. Press, Cambridge (2003)
89. Johnson, N.F., Jefferies, P., Hui, P.M.: Financial Market Complexity. Oxford Univ. Press, New York (2003)
90. Altmann, E.G., Kantz, H.: Phys. Rev. E 71, 056106 (2005)
91. Stephens, M.A.: J. Am. Stat. Assoc. 69, 730 (1974)
92. Engle, R., Russel, J.: Econometrica 66, 1127 (1998)
93. 73. Hill, B.M.: Ann. Stat. 3, 1163 (1975)
94. Di Matteo, T.: Quant. Finan. 7, 21 (2007)
95. Ivanov, P.C., Yuen, A., Podobnik, B., Lee, Y.: Phys. Rev. E 69, 056107 (2004)
96. Eisler, Z., Kertész, J.: Phys. Rev. E 73, 046109 (2006);
97. Eisler, Z., Kertész, J.: Eur. Phys. J. B 51, 145 (2006)
98. Schreiber, T., Schmitz, A.: Phys. Rev. Lett. 77, 635 (1996);
99. Schreiber, T., Schmitz, A.: Physica D 142, 346 (2000)
100. Makse, H.A., Havlin, S., Schwartz, M., Stanley, H.E.: Phys. Rev. E 53, 5445 (1996)
101. Eichner, J.F., Kantelhardt, J.W., Bunde, A., Havlin, S.: Phys. Rev. E 73, 016130 (2006)
102. Peng, C.-K., Buldyrev, S.V., Havlin, S., Simons, M., Stanley, H.E., Goldberger, A.L.: Phys. Rev. E 49, 1685 (1994);
103. Peng, C.-K., Havlin, S., Stanley, H.E., Goldberger, A.L.: Chaos 5, 82 (1995)
104. Hu, K., Ivanov, P.C., Chen, Z., Carpena, P., Stanley, H.E.: Phys. Rev. E 64, 011114 (2001);
105. Chen, Z., Ivanov, P.C., Hu, K., Stanley, H.E.: ibid 65, 041107 (2002);
106. Xu, L., Ivanov, P.C., Hu, K., Chen, Z., Carbone, A., Stanley, H.E.: ibid 71, 051101 (2005);
107. Chen, Z., Hu, K., Carpena, P., Bernaola-Galvan, P., Stanley, H.E., Ivanov, P.C.: ibid 71, 011104 (2005);
108. Kantelhardt, J.W., Zschiegner, S., Koscielny-Bunde, E., Havlin, S., Bunde, A., Stanley, H.E.: Physica A 316, 87 (2002)
109. Bunde, A., Havlin, S., Kantelhardt, J.W., Penzel, T., Peter, J.-H., Voigt, K.: Phys. Rev. Lett. 85, 3736 (2000)
110. Baillie, R.T., Bollerslev, T., Mikkelsen, H.O.: J. Econometrics 74, 3 (1996)
111. Mandelbrot, B.B., Van Ness, J.W.: SIAM rev. 10, 442 (1968)