A unified model for price return distributions used in econophysics

G. Bucsa, F. Jovanovic and C. Schinckus

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 20, 3435-3443

Abstract: For a decade, a new theoretical movement called “econophysics” has been initiated by some physicists who began to publish articles devoted to the study of economic and financial phenomena. Since then, econophysicists have written a very prolific literature about the way of characterizing the evolution of financial prices. Today, there is an “extreme diversity” of models recently developed by econophysicists whose research is sometimes presented as an ill-defined field. The objective of this paper is precisely to provide a unified framework in order to contribute to unify econophysics and to base this new field on shared scientific standards.

Keywords: Econophysics; Levy processes; Finance (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:20:p:3435-3443

DOI: 10.1016/j.physa.2011.04.012

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