Levels of complexity in financial markets

Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna

Physica A: Statistical Mechanics and its Applications, 2001, vol. 299, issue 1, 16-27

Abstract: We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather complex under several ways. Specifically, they are complex with respect to their (i) temporal and (ii) ensemble properties. Moreover, the ensemble return properties show a behavior which is specific to the nature of the trading day reflecting if it is a normal or an extreme trading day.

Keywords: Econophysics; Stochastic processes; Correlation based clustering (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (32)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:299:y:2001:i:1:p:16-27

DOI: 10.1016/S0378-4371(01)00279-5

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