6533b822fe1ef96bd127ca6c

RESEARCH PRODUCT

Econophysics: Scaling and its breakdown in finance

H. Eugene StanleyRosario N. Mantegna

subject

Index (economics)EconophysicsLévy flightStochastic modellingFinancial marketEconometricsStatistical and Nonlinear PhysicsRandom walkScalingMathematical economicsStock market indexMathematical PhysicsMathematics

description

We discuss recent empirical results obtained by analyzing high-frequency data of a stock market index, the Standard and Poor’s 500. We focus on the scaling properties and on its breakdown of the index dynamics. A simple stochastic model, the truncated Levy flight, is illustrated. Successes and limitations of this model are presented. A discussion about similarities and differences between the scaling properties observed in financial markets and in fully developed turbulence is also provided.

yearjournalcountryeditionlanguage
1997-10-01Journal of Statistical Physics
https://doi.org/10.1007/bf02770777