Economic mapping to the renormalization group scaling of stock markets

E. Canessa
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E. Canessa: The Abdus Salam International Centre for Theoretical Physics, PO Box 586, 34100 Trieste, Italy

The European Physical Journal B: Condensed Matter and Complex Systems, 2001, vol. 20, issue 4, 591-594

Abstract: Abstract: We make an attempt to map a simple economically motivated model for price evolution [J. Phys. A 33, 3637 (2000)] to the phenomenological renormalization group scaling of stock markets. This mapping gives insight into the critical exponents and the renormalization group predictions for the log-periodic oscillations preceding some stock market crashes from the perspective of non-linear changes in `the level of stock'.

Keywords: PACS. 89.90+nOther topics in aeras of applied and interdisciplinary physics – 64.60AkRenormalization-group; fractal; and percolation studies of phase transitions (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/PL00011113

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