Applications of statistical mechanics to finance

Rosario Mantegna, Zoltán Palágyi and H.Eugene Stanley

Physica A: Statistical Mechanics and its Applications, 1999, vol. 274, issue 1, 216-221

Abstract: We discuss some apparently “universal” aspects observed in the empirical analysis of stock price dynamics in financial markets. Specifically we consider (i) the empirical behavior of the return probability density function and (ii) the content of economic information in financial time series.

Keywords: Econophysics (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:274:y:1999:i:1:p:216-221

DOI: 10.1016/S0378-4371(99)00395-7

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