RANDOM-WALK TYPE MODEL WITH FAT TAILS FOR FINANCIAL MARKETS

DOI10.1142/S0129183108012765MaRDI QIDQ3545698zbMATH OpenOpenAlexFDO

Authors Hans-Geors Matuttis

Publication date 11 December 2008

Published in International Journal of Modern Physics C (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0129183108012765

zbMATH Keywords

econophysics

Mathematics Subject Classification ID

Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Renormalization group methods in equilibrium statistical mechanics (82B28) Financial applications of other theories (91G80)

Cites work

• FINANCIAL AND OTHER SPATIO-TEMPORAL TIME SERIES: LONG-RANGE CORRELATIONS AND SPECTRAL PROPERTIES

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