The emerging subfield of econophysics explores the degree to which certain concepts and methods from statistical …, over a time interval [t,t+Δt]. We relate the time-dependent standard deviation of price fluctuations – volatility – to two … Lévy scaling relationship between QΔt and NΔt, which would provide one explanation for volume-volatility co-movement. A …

volatility, mean value and standard deviation of both markets and compare their evolution. We conclude from the overall result of …

Volatility features of the Nordic day ahead power spot market for a 12-year period up till May 2004 are studied. The … daily logarithmic volatility was measured for this period to be about 16%. This level is well above what is observed for … most other well-studied financial markets. Volatility clustering, log-normal distribution, and long-range correlations are …

volatility satisfies a power law with an exponent close to 4. On the other hand, we investigated quantitatively the return and … the volatility of the daily data of the Nikkei 225 index from 1990 to 2003, and we found that the distributions of the … returns and the volatility can be accurately described by the exponential distributions [11]. We then propose a stochastic …

time interval [t,t+Δt]. We relate the time-dependent standard deviation of price changes—volatility—to two microscopic … that the long-ranged volatility correlations are largely due to those of N. We then argue that the tail-exponent of the …

(‘volatility’) are long-term correlated. Here we provide evidence that certain subsequences of the returns themselves also exhibit … this long-term memory which is similar to that observed in volatility clustering sheds further insight on price dynamics …

problems. The word “Econophysics” is sometimes used to refer to this work. Much recent work is focused on understanding the …