Understanding the cubic and half-cubic laws of financial fluctuations

Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou and H.Eugene Stanley

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 1-5

Abstract: Recent empirical research has uncovered regularities in financial fluctuations. Those are: (i) the cubic law of returns: returns follow a power law distribution with exponent 3; (ii) the half cubic law of volumes: volumes follow a power law distribution with exponent 32; (iii) Approximate cubic law of number of trades: the number of trades in a given time intervals follows a power law distribution with exponent around 3. We discuss a new theory that explains them, as well as some related facts.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:1-5

DOI: 10.1016/S0378-4371(03)00174-2

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