Origins of the scaling behaviour in the dynamics of financial data

Aleksander Weron, Szymon Mercik and Rafał Weron

Physica A: Statistical Mechanics and its Applications, 1999, vol. 264, issue 3, 562-569

Abstract: The conditionally exponential decay (CED) model is used to explain the scaling laws observed in financial data. This approach enables us to identify the distributions of currency exchange rate or economic indices returns (changes) corresponding to the empirical scaling laws. This is illustrated for daily returns of the Dow Jones industrial average (DJIA) and the Standard & Poor's 500 (S&P500) indices as well as for high-frequency returns of the USD/DEM exchange rate.

Keywords: Econophysics; Scaling law; CED model; High-frequency data (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Origins of the scaling behaviour in the dynamics of financial data (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:264:y:1999:i:3:p:562-569

DOI: 10.1016/S0378-4371(98)00551-2

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