6533b858fe1ef96bd12b619a
RESEARCH PRODUCT
Applications of statistical mechanics to finance
Zoltán PalágyiH. Eugene StanleyRosario N. Mantegnasubject
Statistics and ProbabilityFinanceSeries (mathematics)business.industryFinancial marketProbability density functionStatistical mechanicsStatistical financeCondensed Matter PhysicsMarket depthEconomic informationEconomicsFinancial modelingbusinessdescription
Abstract We discuss some apparently “universal” aspects observed in the empirical analysis of stock price dynamics in financial markets. Specifically we consider (i) the empirical behavior of the return probability density function and (ii) the content of economic information in financial time series.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1999-12-01 | Physica A: Statistical Mechanics and its Applications |