Levels of complexity in financial markets

Details Levels of complexity in financial markets Levels of complexity in financial markets

2001-04-19

arxiv.org/abs/cond-mat/0104369v1

Physics

Condensed Matter

Statistical Mechanics

14 pages, 5 figures, to appear on Physica A, Proceedings of the NATO Advanced Research Workshop on Application of Physics in E

Scientific paper

10.1016/S0378-4371(01)00279-5

We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather complex under several ways. Specifically, they are complex with respect to their (i) temporal and (ii) ensemble properties. Moreover, the ensemble return properties show a behavior which is specific to the nature of the trading day reflecting if it is a normal or an extreme trading day.

Affiliated with

Also associated with

No associations

Rating

Levels of complexity in financial markets 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 Levels of complexity in financial markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Levels of complexity in financial markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-140881