Scaling in stock market data: stable laws and beyond
The concepts of scale invariance and scaling behavior are now increasingly applied outside their traditional domains of application, the physical sciences. Their application to financial markets, initiated by Mandelbrot [1,2] in the 1960s, has experienced a regain of interest in the recent years, pa...
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| Format: | Conference item |
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Springer, Berlin, Heidelberg
1997
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| Summary: | The concepts of scale invariance and scaling behavior are now increasingly applied outside their traditional domains of application, the physical sciences. Their application to financial markets, initiated by Mandelbrot [1,2] in the 1960s, has experienced a regain of interest in the recent years, partly due to the abundance of high-frequency data sets and availability of computers for analyzing their statistical properties. |
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