Levels of complexity in financial markets

Citation
G. Bonanno et al., Levels of complexity in financial markets, PHYSICA A, 299(1-2), 2001, pp. 16-27
Citations number
38
Language
INGLESE
art.tipo
Article
Categorie Soggetti
Physics
Journal title
PHYSICA A
ISSN journal
0378-4371 → ACNP
Volume
299
Issue
1-2
Year of publication
2001
Pages
16 - 27
Database
ISI
SICI code
0378-4371(20011001)299:1-2<16:LOCIFM>2.0.ZU;2-9
Abstract
We consider different levels of complexity which are observed in the empiri cal investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time ser ies are rather complex under several ways. Specifically, they are complex w ith respect to their (i) temporal and (ii) ensemble properties. Moreover, t he ensemble return properties show a behavior which is specific to the natu re of the trading day reflecting if it is a normal or an extreme trading da y. (C) 2001 Elsevier Science B.V. All rights reserved.