Gunaratne, Gemunu H.; Nicol, Matthew; Seemann, Lars; … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 20, pp. 4424-4430
Increments in financial markets have anomalous statistical properties including fat-tailed distributions and volatility clustering (i.e., the autocorrelation functions of return increments decay quickly but those of the squared increments decay slowly). One of the central questions in financial...