6533b85bfe1ef96bd12bad12

RESEARCH PRODUCT

Levels of complexity in financial markets

Giovanni BonannoFabrizio LilloRosario N. Mantegna

subject

FOS: Economics and businessStatistics and ProbabilityStatistical Finance (q-fin.ST)Statistical Mechanics (cond-mat.stat-mech)Series (mathematics)Work (electrical)Financial marketEconometricsEconomicsFOS: Physical sciencesQuantitative Finance - Statistical FinanceCondensed Matter PhysicsCondensed Matter - Statistical Mechanics

description

We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather complex under several ways. Specifically, they are complex with respect to their (i) temporal and (ii) ensemble properties. Moreover, the ensemble return properties show a behavior which is specific to the nature of the trading day reflecting if it is a normal or an extreme trading day.

yearjournalcountryeditionlanguage
2001-04-01Physica A: Statistical Mechanics and its Applications
https://doi.org/10.1016/s0378-4371(01)00279-5