Quantifying economic fluctuations

H. Eugene Stanley; Luis A. Nunes Amaral; Xavier Gabaix; Parameswaran Gopikrishnan; Vasiliki Plerou

doi:10.1016/S0378-4371(01)00504-0

Quantifying economic fluctuations

H. Eugene Stanley^*, Luis A. Nunes Amaral, Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou

^*Corresponding author for this work

Chemical and Biological Engineering

Research output: Contribution to journal › Conference article › peer-review

11 Scopus citations

Abstract

The role of scale invariance and universality, the two pillars of the field of phase transitions and critical phenomena, in guiding research on interpreting empirical data on economic fluctuations, was discussed. The relation between trading activity, which was measured by the number of transactions N, and the price change G(t) for a given stock, over a time interval [t,t + δt], was quantified. The time-dependent standard deviation of price changes was related to two microscopic quantities of the number of transactions N(t) in δt and variance W²(t) of the price changes for all transactions in δt.

Original language	English (US)
Pages (from-to)	126-137
Number of pages	12
Journal	Physica A: Statistical Mechanics and its Applications
Volume	302
Issue number	1-4
DOIs	https://doi.org/10.1016/S0378-4371(01)00504-0
State	Published - Dec 15 2001
Event	International Workshop on Frontiers in the Physics of Complex Systems - Ramat-Gan, Israel Duration: Mar 25 2001 → Mar 28 2001

Keywords

Economics
Econophysics
Firm growth
Gross domestic product (GDP)
Lévy distribution
Random matrix theory
Volatility

ASJC Scopus subject areas

Statistics and Probability
Condensed Matter Physics

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10.1016/S0378-4371(01)00504-0

Cite this

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title = "Quantifying economic fluctuations",

abstract = "The role of scale invariance and universality, the two pillars of the field of phase transitions and critical phenomena, in guiding research on interpreting empirical data on economic fluctuations, was discussed. The relation between trading activity, which was measured by the number of transactions N, and the price change G(t) for a given stock, over a time interval [t,t + δt], was quantified. The time-dependent standard deviation of price changes was related to two microscopic quantities of the number of transactions N(t) in δt and variance W2(t) of the price changes for all transactions in δt.",

keywords = "Economics, Econophysics, Firm growth, Gross domestic product (GDP), L{\'e}vy distribution, Random matrix theory, Volatility",

author = "Stanley, {H. Eugene} and {Nunes Amaral}, {Luis A.} and Xavier Gabaix and Parameswaran Gopikrishnan and Vasiliki Plerou",

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note = "International Workshop on Frontiers in the Physics of Complex Systems ; Conference date: 25-03-2001 Through 28-03-2001",

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AU - Stanley, H. Eugene

AU - Nunes Amaral, Luis A.

AU - Gabaix, Xavier

AU - Gopikrishnan, Parameswaran

AU - Plerou, Vasiliki

PY - 2001/12/15

Y1 - 2001/12/15

N2 - The role of scale invariance and universality, the two pillars of the field of phase transitions and critical phenomena, in guiding research on interpreting empirical data on economic fluctuations, was discussed. The relation between trading activity, which was measured by the number of transactions N, and the price change G(t) for a given stock, over a time interval [t,t + δt], was quantified. The time-dependent standard deviation of price changes was related to two microscopic quantities of the number of transactions N(t) in δt and variance W2(t) of the price changes for all transactions in δt.

AB - The role of scale invariance and universality, the two pillars of the field of phase transitions and critical phenomena, in guiding research on interpreting empirical data on economic fluctuations, was discussed. The relation between trading activity, which was measured by the number of transactions N, and the price change G(t) for a given stock, over a time interval [t,t + δt], was quantified. The time-dependent standard deviation of price changes was related to two microscopic quantities of the number of transactions N(t) in δt and variance W2(t) of the price changes for all transactions in δt.

KW - Economics

KW - Econophysics

KW - Firm growth

KW - Gross domestic product (GDP)

KW - Lévy distribution

KW - Random matrix theory

KW - Volatility

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DO - 10.1016/S0378-4371(01)00504-0

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AN - SCOPUS:0035894769

SN - 0378-4371

VL - 302

SP - 126

EP - 137

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 1-4

T2 - International Workshop on Frontiers in the Physics of Complex Systems

Y2 - 25 March 2001 through 28 March 2001

ER -

Quantifying economic fluctuations

Abstract

Keywords

ASJC Scopus subject areas

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