Origins of the scaling behaviour in the dynamics of financial data

Aleksander Weron, Szymon Mercik and Rafał Weron

No HSC/98/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: The Conditionally Exponential Decay (CED) model is used to explain the scaling laws observed in financial data. This approach enables us to identify the distributions of currency exchange rate or economic indices returns (changes) corresponding to the empirical scaling laws. This is illustrated for daily returns of the Dow Jones Industrial Average (DJIA) and the Standard & Poor’s 500 (S&P500) indices as well as for high frequency returns of the USD/DEM exchange rate.

Keywords: Econophysics; Scaling law; CED model; High frequency data (search for similar items in EconPapers)
JEL-codes: C16 C58 (search for similar items in EconPapers)
Pages: 10 pages
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Physica A 264 (1999) 562-569.

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_98_01.pdf Final version, 1998 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to kkm.im.pwr.edu.pl:443 (Bad file descriptor) (http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_98_01.pdf [301 Moved Permanently]--> https://kkm.im.pwr.edu.pl/~hugo/RePEc/wuu/wpaper/HSC_98_01.pdf)

Related works:
Journal Article: Origins of the scaling behaviour in the dynamics of financial data (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wuu:wpaper:hsc9801

Access Statistics for this paper

More papers in HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology Contact information at EDIRC.
Bibliographic data for series maintained by Rafal Weron ().