Econophysics: Scaling and its breakdown in finance
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Publication:1285113
DOI10.1007/BF02770777zbMath0935.91023MaRDI QIDQ1285113
Rosario Nunzio Mantegna, H. Eugene Stanley
Publication date: 25 May 1999
Published in: Journal of Statistical Physics (Search for Journal in Brave)
random walksturbulencescalingfinancial marketsstock market indexLévy stable processestruncated Lévy flight
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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Cites Work
- On the quadratic mapping \(z\rightarrow z^{2}-\mu \) for complex \(\mu \) and \(z\): the fractal structure of its set, and scaling
- ARCH modeling in finance. A review of the theory and empirical evidence
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
- Aggregate fluctuations from independent sectoral shocks: self-organized criticality in a model of production and inventory dynamics
- ABSENCE OF 1/f SPECTRA IN DOW JONES DAILY AVERAGE
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
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