Title of article
Origins of the scaling behaviour in the dynamics of financial data
Author/Authors
Aleksander Weron، نويسنده , , Szymon Mercik، نويسنده , , Rafal Weron، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1999
Pages
8
From page
562
To page
569
Abstract
The conditionally exponential decay (CED) model is used to explain the scaling laws observed in financial data. This approach enables us to identify the distributions of currency exchange rate or economic indices returns (changes) corresponding to the empirical scaling laws. This is illustrated for daily returns of the Dow Jones industrial average (DJIA) and the Standard & Poorʹs 500 (S&P500) indices as well as for high-frequency returns of the USD/DEM exchange rate.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
1999
Journal title
Physica A Statistical Mechanics and its Applications
Record number
865804
Link To Document