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Year of publication
Subject
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Mathematical models 1 interactions and correlations 1 quantitative finance 1
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Book / Working Paper 1
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Undetermined 1
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Airoldi, Marco 1 Antonelli, Vito 1 Bassetti, Bruno 1 Martinelli, Andrea 1 Picariello, Marco 1
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EconWPA 1
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GE, Growth, Math methods 1
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RePEc 1
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Long Range Interaction Generating Fat-Tails in Finance
Airoldi, Marco; Antonelli, Vito; Bassetti, Bruno; … - EconWPA - 2004
It's commonly known that the correlation between stocks increases during market turbulent periods. In this work we propose a modellization of this feature, viewed as a collective effect, rearranging a toy-model first proposed in 2001. Equities are modelled as quasi random walk variables, where...
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