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On the origin of power-law tails in price fluctuations · Study

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ArticleOn the origin of power-law tails in price fluctuations

J. Doyne Farmer2004

Article2004

On the origin of power-law tails in price fluctuations

J. Doyne Farmer · Fabrizio Lillo

150 citations·0/0 files stored·Quantitative Finance

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

(2004). On the origin of power-law tails in price fluctuations. Quantitative Finance: Vol. 4, No. 1, pp. 7-11.

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References

1991Inferring Trade Direction from Intraday Data 1996Statistics for Long-Memory Processes.1996Statistics for Long-Memory Processes.2003Forecasting Volatility in Financial Markets: A Review 2003A theory of power-law distributions in financial market fluctuations 1999Scaling of the distribution of price fluctuations of individual companies 2003Master curve for price-impact function 2005The predictive power of zero intelligence in financial markets

Cited by

2010Patterns in high-frequency FX data: discovery of 12 empirical scaling laws 2006Size matters: some stylized facts of the stock market revisited 2006Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?2008A statistical physics view of financial fluctuations: Evidence for scaling and universality 2004On the origin of power-law fluctuations in stock prices 2009Applications of Statistical Physics in Finance and Economics

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Details

Year2004

Typearticle

Published2004-02-01

VenueQuantitative Finance

ISSN-L1469-7688

Languageen

Citations150

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1088/1469-7688/4/1/c01

openalex_workW1775845324

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2006Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks

2006There's more to volatility than volume