 Power, Levy, Exponential and Gaussian Regimes in Autocatalytic Financial SystemsNo 12, Computing in Economics and Finance 2001 from Society for Computational Economics Abstract: We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws in the size distribution of their individual elements. The exponents $\\alpha$ of these power laws are time independent and depend only on the way the elements with very small values are treated. These truncated power laws determine the collective time evolution of the system. In particular the global stochastic fluctuations of the system differ from the normal Gaussian noise according to the time and size scales at which these fluctuations are considered. We describe the ranges in which these fluctuations are parameterized respectively by: the Levy regime alpha 2), and the exponential decay. Finally we relate these results to the large exponent power laws found in the actual behavior of the stock markets and to the exponential cut-off detected in certain recent measurements. Keywords: stochastic model; returns distribution; gaussian; levy distribution; power tails (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf1:12 Access Statistics for this paper More papers in Computing in Economics and Finance 2001 from Society for Computational Economics Contact information at EDIRC. |
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