Power law relaxation in a complex system: Omori law after a financial market crash

Details Power law relaxation in a complex system: Omori law after a financial market crash Power law relaxation in a complex system: Omori law after a financial market crash

2001-11-14

arxiv.org/abs/cond-mat/0111257v2

Physics

Condensed Matter

Statistical Mechanics

4 pages,4 figures, accepted in PRE

Scientific paper

We study the relaxation dynamics of a financial market just after the occurrence of a crash by investigating the number of times the absolute value of an index return is exceeding a given threshold value. We show that the empirical observation of a power law evolution of the number of events exceeding the selected threshold (a behavior known as the Omori law in geophysics) is consistent with the simultaneous occurrence of (i) a return probability density function characterized by a power law asymptotic behavior and (ii) a power law relaxation decay of its typical scale. Our empirical observation cannot be explained within the framework of simple and widespread stochastic volatility models.

Affiliated with

Also associated with

No associations

Rating

Power law relaxation in a complex system: Omori law after a financial market crash does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Power law relaxation in a complex system: Omori law after a financial market crash, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Power law relaxation in a complex system: Omori law after a financial market crash will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-355421