Economic fluctuations and anomalous diffusion

Vasiliki Plerou, Parameswaran Gopikrishnan, Luís A Nunes Amaral, Xavier Gabaix, H. Eugene Stanley

Research output: Contribution to journalArticlepeer-review

181 Scopus citations

Abstract

The relation between trading activity, measured by the number of transactions, and the price change is quantified for a given stock. A database documenting every transaction for 1000 US stocks for the two-year period 1994-1995 is analyzed. It is found that stock price movements are analogous to a complex variant of classic diffusion.

Original languageEnglish (US)
Pages (from-to)R3023-R3026
JournalPhysical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics
Volume62
Issue number3 A
DOIs
StatePublished - Sep 2000

ASJC Scopus subject areas

  • Statistical and Nonlinear Physics
  • Statistics and Probability
  • Condensed Matter Physics

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