Econophysics: Financial time series from a statistical physics point of view

Vasiliki Plerou, Parameswaran Gopikrishnan, Bernd Rosenow, Luis A N Amaral, H. Eugene Stanley

Research output: Contribution to journalArticlepeer-review

111 Scopus citations

Abstract

In recent years, physicists have started applying concepts and methods of statistical physics to study economic problems. The word `Econophysics' is sometimes used to refer to this work. Much recent work is focused on understanding the statistical properties of financial time series. One reason for this interest is that financial markets are examples of complex interacting systems for which a huge amount of data exist and it is possible that financial time series viewed from a different perspective might yield new results. The three phenomenological studies on the probability of stock price fluctuations, correlations in financial time series, and the correlations among different companies are reviewed.

Original languageEnglish (US)
Pages (from-to)443-456
Number of pages14
JournalPhysica A: Statistical Mechanics and its Applications
Volume279
Issue number1
DOIs
StatePublished - May 1 2000

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

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