Applications of statistical mechanics to finance

Authors
Mantegna, RN Palagyi, Z Stanley, HE
Citation
Rn. Mantegna et al., Applications of statistical mechanics to finance, PHYSICA A, 274(1-2), 1999, pp. 216-221
Citations number
43
Categorie Soggetti
Physics
Journal title
PHYSICA A
ISSN journal
03784371 → ACNP
Volume
274
Issue
1-2
Year of publication
1999
Pages
216 - 221
Database
ISI
SICI code
0378-4371(199912)274:1-2<216:AOSMTF>2.0.ZU;2-4
Abstract
We discuss some apparently "universal" aspects observed in the empirical an alysis of stock price dynamics in financial markets. Specifically we consid er (i) the empirical behavior of the return probability density function an d (ii) the content of economic information in financial time series. (C) 19 99 Elsevier Science B.V. All rights reserved.