Applications of statistical mechanics to finance

We discuss some apparently “universal” aspects observed in the empirical analysis of stock price dynamics in financial markets. Specifically we consider (i) the empirical behavior of the return probability density function and (ii) the content of economic information in financial time series.

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Year of publication:	1999
Authors:	Mantegna, Rosario N ; Palágyi, Zoltán ; Stanley, H. Eugene
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 274.1999, 1, p. 216-221
Publisher:	Elsevier
Subject:	Econophysics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011059604