| dc.creator |
Lux, Thomas |
|
| dc.date |
2006 |
|
| dc.date.accessioned |
2013-10-16T06:25:05Z |
|
| dc.date.available |
2013-10-16T06:25:05Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/3923 |
|
| dc.identifier |
ppn:520839706 |
|
| dc.identifier |
RePEc:zbw:cauewp:5159 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/3923 |
|
| dc.description |
Financial markets (share markets, foreign exchange markets and others) are all characterized by a number of universal power laws. The most prominent example is the ubiquitous finding of a robust, approximately cubic power law characterizing the distribution of large returns. A similarly robust feature is long-range dependence in volatility (i.e., hyperbolic decline of its autocorrelation function). The recent literature adds temporal scaling of trading volume and multi-scaling of higher moments of returns. Increasing awareness of these properties has recently spurred attempts at theoretical explanations of the emergence of these key characteristics form the market process. In principle, different types of dynamic processes could be responsible for these power-laws. Examples to be found in the economics literature include multiplicative stochastic processes as well as dynamic processes with multiple equilibria. Though both types of dynamics are characterized by intermittent behavior which occasionally generates large bursts of activity, they can be based on fundamentally different perceptions of the trading process. The present chapter reviews both the analytical background of the power laws emerging from the above data generating mechanism as well as pertinent models proposed in the economics literature. |
|
| dc.language |
eng |
|
| dc.publisher |
Institut für Volkswirtschaftslehre, Kiel |
|
| dc.relation |
Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2006,12 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Finanzmarkt |
|
| dc.subject |
Börsenkurs |
|
| dc.subject |
Kapitalertrag |
|
| dc.subject |
Theorie |
|
| dc.subject |
Zeitreihenanalyse |
|
| dc.subject |
Welt |
|
| dc.title |
Financial power laws: Empirical evidence, models, and mechanism |
|
| dc.type |
doc-type:workingPaper |
|