Understanding the cubic and half-cubic laws of financial fluctuations

被引：34

作者：

Gabaix, X ^{[1
]}

Gopikrishnan, P

Plerou, V

Stanley, HE

机构：

[1] MIT, Dept Econ, Cambridge, MA 02139 USA

[2] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA

[3] Boston Univ, Dept Phys, Boston, MA 02215 USA

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2003年 / 324卷 / 1-2期

关键词：

D O I：

10.1016/S0378-4371(03)00174-2

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Recent empirical research has uncovered regularities in financial fluctuations. Those are: (i) the cubic law of returns: returns follow a power law distribution with exponent 3; (ii) the half cubic law of volumes: volumes follow a power law distribution with exponent 3/2; (iii) Approximate cubic law of number of trades: the number of trades in a given time intervals follows a power law distribution with exponent around 3. We discuss a new theory that explains them, as well as some related facts. (C) 2003 Published by Elsevier Science B.V.

引用

页码：1 / 5

页数：5

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