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 …

The emerging subfield of econophysics explores the degree to which certain concepts and methods from statistical … in the economics community. Here we give a brief overview of two examples of research topics that are receiving recent …, over a time interval [t,t+Δt]. We relate the time-dependent standard deviation of price fluctuations – volatility – to two …

through the random matrix theory. Meanwhile, we observe that the Taiwan and Hong Kong stock markets show a negative return-volatility … 2000, the two markets exhibited a strong positive return-volatility correlation, which is called the anti-leverage effect …