Abstract
We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with correlated step sizes obeying truncated Lévy-like distribution, and the cross-correlation between relative updated wealths is the origin of the nontrivial properties of returns, including the power-law distribution with exponent outside the stable Lévy regime and the long-range persistence of volatility correlations.
Original language | English |
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Pages (from-to) | 412-422 |
Number of pages | 11 |
Journal | Physica A: Statistical Mechanics and its Applications |
Volume | 306 |
DOIs | |
State | Published - 1 Apr 2002 |
Event | 21th IUPAP Conference on Invited Papares (STATPHYS 21) - Cancun, Mexico Duration: 15 Jul 2001 → 21 Jul 2001 |
Keywords
- Multiplicative processes
- Power law
- Volatility correlations