On the origin of power law tails in price fluctuations
In a recent Nature paper, Gabaix et al. \cite{Gabaix03} presented a theory to explain the power law tail of price fluctuations. The main points of their theory are that volume fluctuations, which have a power law tail with exponent roughly -1.5, are modulated by the average market impact function, w...
| Egile Nagusiak: | , |
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| Formatua: | Journal article |
| Argitaratua: |
2003
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