On the origin of power-law tails in price fluctuations

DOI10.1088/1469-7688/4/1/C01zbMath1405.91551arXivcond-mat/0309416OpenAlexW1775845324MaRDI QIDQ4647591

J. Doyne Farmer, Fabrizio Lillo

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0309416

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (13)

Stock market crashes as social phase transitions ⋮ Quantifying and understanding the economics of large financial movements ⋮ Heavy tailed distributions in closing auctions ⋮ Bridging stylized facts in finance and data non-stationarities ⋮ What really causes large price changes? ⋮ Financial power laws: empirical evidence, models, and mechanisms ⋮ Why does the power law for stock price hold? ⋮ Stylized facts of price gaps in limit order books ⋮ On the origin of power-law fluctuations in stock prices ⋮ The impact of heterogeneous trading rules on the limit order book and order flows ⋮ Analysis of a decision model in the context of equilibrium pricing and order book pricing ⋮ Thermodynamics of markets ⋮ Agent-based modelling in directional-change intrinsic time

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Understanding the cubic and half-cubic laws of financial fluctuations
• More statistical properties of order books and price impact
• The Long Memory of the Efficient Market
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• What really causes large price changes?
• Statistical theory of the continuous double auction
• On the origin of power-law fluctuations in stock prices
• Large stock price changes: volume or liquidity?
• Quantifying economic fluctuations

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