Understanding the cubic and half-cubic laws of financial fluctuations
Recent empirical research has uncovered regularities in financial fluctuations. Those are: (i) the cubic law of returns: returns follow a power law distribution with exponent 3; (ii) the half cubic law of volumes: volumes follow a power law distribution with exponent 32; (iii) Approximate cubic law of number of trades: the number of trades in a given time intervals follows a power law distribution with exponent around 3. We discuss a new theory that explains them, as well as some related facts.
Year of publication: |
2003
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Authors: | Gabaix, Xavier ; Gopikrishnan, Parameswaran ; Plerou, Vasiliki ; Stanley, H. Eugene |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 324.2003, 1, p. 1-5
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Publisher: |
Elsevier |
Saved in:
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