Quantifying fluctuations in economic systems by adapting methods of statistical physics

H. E. Stanley*, P. Gopikrishnan, V. Plerou, L. A N Amaral

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

20 Scopus citations

Abstract

The emerging subfield of econophysics explores the degree to which certain concepts and methods from statistical physics can be appropriately modified and adapted to provide new insights into questions that have been the focus of interest in the economics community. The dynamics of stock price fluctuations is characterized by studying the relation between trading activity measured by the number of transactions and the price change for a given stock over a time interval. The cross-correlations between the price fluctuations of different stocks is also studied using a conceptual framework, random matrix theory (RMT).

Original languageEnglish (US)
Pages (from-to)339-361
Number of pages23
JournalPhysica A: Statistical Mechanics and its Applications
Volume287
Issue number3-4
DOIs
StatePublished - Dec 1 2000

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

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