TY - JOUR

T1 - Econophysics

T2 - Financial time series from a statistical physics point of view

AU - Plerou, Vasiliki

AU - Gopikrishnan, Parameswaran

AU - Rosenow, Bernd

AU - Amaral, Luis A N

AU - Eugene Stanley, H.

N1 - Funding Information:
We thank our collaborators and colleagues from whom we learned a great deal. These include the researchers and faculty visitors to our research group with whom we have enjoyed the pleasure of scientific collaboration, specifically, S.V. Buldyrev, D. Canning, P. Cizeau, X. Gabaix, T. Guhr, S. Havlin, P. Ch. Ivanov, Y. Lee, Y. Liu, R.N. Mantegna, C.-K. Peng, B. Podobnik, M.A. Salinger, and M.H.R. Stanley. We also thank M. Barthélemy, J.-P. Bouchaud, D. Sornette, D. Stauffer, S. Solomon, and J. Voit for helpful discussions and comments. The Center for Polymer Studies is supported by the National Science Foundation.

PY - 2000/5/1

Y1 - 2000/5/1

N2 - 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.

AB - 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.

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U2 - 10.1016/S0378-4371(00)00010-8

DO - 10.1016/S0378-4371(00)00010-8

M3 - Article

AN - SCOPUS:0033747491

VL - 279

SP - 443

EP - 456

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

SN - 0378-4371

IS - 1

ER -