Statistical physics in foreign exchange currency and stock markets

Marcel Ausloos

Physica A: Statistical Mechanics and its Applications, 2000, vol. 285, issue 1, 48-65

Abstract: Problems in economy and finance have attracted the interest of statistical physicists all over the world. Fundamental problems pertain to the existence or not of long-, medium- or/and short-range power-law correlations in various economic systems, to the presence of financial cycles and on economic considerations, including economic policy. A method like the detrended fluctuation analysis is recalled emphasizing its value in sorting out correlation ranges, thereby leading to predictability at short horizon. The (m,k)-Zipf method is presented for sorting out short-range correlations in the sign and amplitude of the fluctuations. A well-known financial analysis technique, the so-called moving average, is shown to raise questions to physicists about fractional Brownian motion properties. Among spectacular results, the possibility of crash predictions has been demonstrated through the log-periodicity of financial index oscillations.

Keywords: Stock market; Financial analysis; Fractional Brownian motion; Power law correlations (search for similar items in EconPapers)
Date: 2000
References: View complete reference list from CitEc
Citations: View citations in EconPapers (78)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437100002715
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:285:y:2000:i:1:p:48-65

DOI: 10.1016/S0378-4371(00)00271-5

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().