| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482022 | Physica A: Statistical Mechanics and its Applications | 2011 | 10 Pages |
Abstract
⺠The pdf of the volatility of 17 world markets were analyzed. ⺠Power laws and exponential function were used to fit the pdf volatilities. ⺠The exponential function showed a more adequate fit for all market indexes. ⺠With this exponential fit, we can define a temperature related to market volatility. ⺠The ratio of temperature and volatility is constant, similar to an ideal gas model.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Paulo S.G. de Mattos Neto, David A. Silva, Tiago A.E. Ferreira, George D.C. Cavalcanti,