From Brownian motion to operational risk: statistical physics and financial markets

DOI10.1016/S0378-4371(02)01783-1zbMath1098.91545MaRDI QIDQ1865443

Johannes Voit

Publication date: 26 March 2003

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

hydrodynamic turbulence; DAX German blue chip stock; return probability density

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

82B99: Equilibrium statistical mechanics

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Cites Work

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