Serva, M.; Fulco, U. L.; Lyra, M. L.; Viswanathan, G. M. - arXiv.org - 2002
We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is able to reproduce the experimentally observed clustering,...