6533b831fe1ef96bd1298d9a
RESEARCH PRODUCT
Stock market dynamics and turbulence: parallel analysis of fluctuation phenomena
H. Eugene StanleyRosario N. Mantegnasubject
Statistics and ProbabilityIndex (economics)MeteorologyTurbulenceGaussianDynamics (mechanics)Probability density functionCondensed Matter Physicslaw.inventionPhysics::Fluid Dynamicssymbols.namesakelawIntermittencysymbolsStock marketSurface layerStatistical physicsMathematicsdescription
Abstract We report analogies and differences between the fluctuations in an economic index and the fluctuations in velocity of a fluid in a fully turbulent state. Specifically, we systematically compare (i) the statistical properties of the S&P 500 cash index recorded during the period January 84–December 89 with (ii) the statistical properties of the velocity of turbulent air measured in the atmospheric surface layer about 6 m above a wheat canopy in the Connecticut Agricultural Research Station. We find non-Gaussian statistics, and intermittency, for both processes (i) and (ii) but the deviation from a Gaussian probability density function are different for stock market dynamics and turbulence.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1997-05-01 | Physica A: Statistical Mechanics and its Applications |