کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9727819 | 1480210 | 2005 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Self-organized criticality and stock market dynamics: an empirical study
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Self-organized criticality and stock market dynamics: an empirical study Self-organized criticality and stock market dynamics: an empirical study](/preview/png/9727819.png)
چکیده انگلیسی
The stock market is a complex self-interacting system, characterized by intermittent behaviour. Periods of high activity alternate with periods of relative calm. In the present work we investigate empirically the possibility that the market is in a self-organized critical state (SOC). A wavelet transform method is used in order to separate high activity periods, related to the avalanches found in sandpile models, from quiescent. A statistical analysis of the filtered data shows a power law behaviour in the avalanche size, duration and laminar times. The memory process, implied by the power law distribution of the laminar times, is not consistent with classical conservative models for self-organized criticality. We argue that a “near-SOC” state or a time dependence in the driver, which may be chaotic, can explain this behaviour.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 350, Issues 2â4, 15 May 2005, Pages 451-465
Journal: Physica A: Statistical Mechanics and its Applications - Volume 350, Issues 2â4, 15 May 2005, Pages 451-465
نویسندگان
M. Bartolozzi, D.B. Leinweber, A.W. Thomas,