Economic fluctuations and statistical physics: the puzzle of large fluctuations

DOI10.1007/s11071-006-2017-2zbMath1101.82310OpenAlexW4239802049WikidataQ125824832 ScholiaQ125824832MaRDI QIDQ2432363

H. Eugene Stanley, Parameswaran Gopikrishnan, Vasiliki Plerou, Xavier Gabaix

Publication date: 25 October 2006

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.334.800

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80) Phase transitions (general) in equilibrium statistical mechanics (82B26) Applications of statistical mechanics to specific types of physical systems (82D99)

Related Items (8)

Linking market interaction intensity of 3D Ising type financial model with market volatility ⋮ Fluctuation behavior analysis of stochastic exclusion financial dynamics with random jump ⋮ Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model ⋮ Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics ⋮ Complexity Analysis and Systemic Risk in Finance: Some Methodological Issues ⋮ Nonlinear scaling analysis approach of agent-based Potts financial dynamical model ⋮ Statistical mechanics of complex systems for pattern identification ⋮ TIME-DELAY MULTISCALE MULTIFRACTAL DETRENDED PARTIAL CROSS-CORRELATION ANALYSIS OF HIGH-FREQUENCY STOCK SERIES

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multifractal detrended fluctuation analysis of nonstationary time series
• Scaling the volatility of GDP growth rates
• Zipf plots and the size distribution of firms
• Statistical models for company growth
• The variance of firm growth rates: The `scaling' puzzle
• Random magnets and correlations of stock price fluctuations
• Understanding the cubic and half-cubic laws of financial fluctuations
• Institutional Investors and Stock Market Volatility
• CAN STATISTICAL PHYSICS CONTRIBUTE TO THE SCIENCE OF ECONOMICS?
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Patterns of Speculation
• Statistical Theory of the Energy Levels of Complex Systems. V
• Introduction to Econophysics
• Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions
• Price fluctuations and market activity
• Truncated Lévy process with scale-invariant behavior
• Collective behavior of stock price movements - a random matrix theory approach

This page was built for publication: Economic fluctuations and statistical physics: the puzzle of large fluctuations