Similar Search Results

Skjeltorp, Johannes A - In: Physica A: Statistical Mechanics and its Applications 283 (2000) 3, pp. 486-528

the random walk assumption. The second model investigates the distributional scaling behaviour of the high-frequency price … variations in the Norwegian stock market. The results show a remarkable constant scaling behaviour between different time … expressed through a scaling exponent, describing the development of the distributions as the time scale changes. This …

Persistent link: https://www.econbiz.de/10011063911

Multi-scaling in finance

Matteo, T. Di - In: Quantitative Finance 7 (2007) 1, pp. 21-36

The most suitable paradigms and tools for investigating the scaling structure of financial time series are reviewed and … discussed in the light of some recent empirical results. Different types of scaling are distinguished and several definitions of … scaling exponents, scaling and multi-scaling processes are given. Methods to estimate such exponents from empirical financial …

Persistent link: https://www.econbiz.de/10005279148

Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate

Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005

particular in terms of scaling distribution preservation. Identified distributions of all simulated processes are compared with …

Persistent link: https://www.econbiz.de/10005077018

Detrended fluctuation analysis of intertrade durations

Jiang, Zhi-Qiang; Chen, Wei; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 4, pp. 433-440

fluctuation analysis, we find a crossover of power-law scaling behaviors for small box sizes (trade numbers in boxes) and large …

Persistent link: https://www.econbiz.de/10010874017

Statistical properties of daily ensemble variables in the Chinese stock markets

Gu, Gao-Feng; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 2, pp. 497-506

We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble return and variety defined, respectively, as the mean and the standard deviation of the ensemble daily price return of a portfolio of stocks traded in China's stock markets on a...

Persistent link: https://www.econbiz.de/10010589032

Does Macroeconomics Need Microeconomic Foundations?

Da Silva, Sergio - 2009

The author argues that it is microeconomics that needs foundations, not macroeconomics. Preferences need to be built on biology, and, in particular, on neuroscience. In contrast, macroeconomics could benefit from rationalizations of aggregate economic phenomena by non-equilibrium statistical...

Persistent link: https://www.econbiz.de/10010298584

Does Macroeconomics Need Microeconomic Foundations?

Da Silva, Sergio - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-23, pp. 1-11

I argue that it is microeconomics that needs foundations, not macroeconomics. Preferences need to be built on biology, and, in particular, on neuroscience. In contrast, macroeconomics could benefit from rationalizations of aggregate economic phenomena by non-equilibrium statistical physics.

Persistent link: https://www.econbiz.de/10010298641

A new method for measuring tail exponents of firm size distributions

Fujimoto, Shouji; Ishikawa, Atushi; Mizuno, Takayuki; … - In: Economics: The Open-Access, Open-Assessment E-Journal 5 (2011) 2011-20, pp. 1-20

The authors propose a new method for estimating the power-law exponents of firm size variables. Their focus is on how to empirically identify a range in which a firm size variable follows a power-law distribution. On the one hand, as is well known a firm size variable follows a power-law...

Persistent link: https://www.econbiz.de/10010307564

The role of temperature in economic exchange : an empirical analysis

Dimitrijević, Bojan; Lovre, Ivan - In: Journal of central banking theory and practice 4 (2015) 3, pp. 65-89

Persistent link: https://www.econbiz.de/10011373218

Risk diversification : a study of persistence with a filtered correlation-network approach

Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana - In: The journal of network theory in finance 1 (2015) 1, pp. 77-98

Persistent link: https://www.econbiz.de/10011374578