Volatility driven market in a generalized Lotka–Voltera formalism

Yoram Louzoun and Sorin Solomon

Physica A: Statistical Mechanics and its Applications, 2001, vol. 302, issue 1, 220-233

Abstract: The generalized Lotka–Voltera (GLV) formalism has been introduced in order to explain the power law distributions in the individual wealth (wi(t)) (Pareto law) and financial markets returns (fluctuations) (r) as a result of the auto-catalytic (multiplicative random) character of the individual capital dynamics.

Keywords: Volatility auto-correlations; Power laws; Econophysics; Lotka–Volterra; Stochastic logistic; Behavioral finance (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:302:y:2001:i:1:p:220-233

DOI: 10.1016/S0378-4371(01)00466-6

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