Baptista, M.S; Caldas, I.L - In: Physica A: Statistical Mechanics and its Applications 312 (2002) 3, pp. 539-564
We elucidate on several empirical statistical observations of stock market returns. Moreover, we find that these properties are recurrent and are also present in invariant measures of low-dimensional dynamical systems. Thus, we propose that the returns are modeled by the first Poincaré return...