Economic fluctuations and anomalous diffusion
نویسندگان
چکیده
منابع مشابه
Economic fluctuations and anomalous diffusion
We quantify the relation between trading activity - measured by the number of transactions N(Deltat)-and the price change G(Deltat) for a given stock, over a time interval [t, t+Deltat]. To this end, we analyze a database documenting every transaction for 1000 U.S. stocks for the two-year period 1994-1995. We find that price movements are equivalent to a complex variant of classic diffusion, wh...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2000
ISSN: 1063-651X,1095-3787
DOI: 10.1103/physreve.62.r3023