Volatility driven market in a generalized Lotka–Voltera formalism

The generalized Lotka–Voltera (GLV) formalism has been introduced in order to explain the power law distributions in the individual wealth (wi(t)) (Pareto law) and financial markets returns (fluctuations) (r) as a result of the auto-catalytic (multiplicative random) character of the individual capital dynamics.

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Year of publication:	2001
Authors:	Louzoun, Yoram ; Solomon, Sorin
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 302.2001, 1, p. 220-233
Publisher:	Elsevier
Subject:	Volatility auto-correlations \| Power laws \| Econophysics \| Lotka–Volterra \| Stochastic logistic \| Behavioral finance

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

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