2000/08/21 by Enrique Canessa, E. Canessa · 3 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Complex Systems and Time Series Analysis #Statistical Mechanics and Entropy #cond-mat #nlin.CD
paper · pdf · doi:10.1007/pl00011113
9 pages, RevTex, 2 PostScript figures
arxiv created 2000/08/21 · openalex publication_date 2001/04/01 · arxiv updated 2009/11/30 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
We make an attempt to map a simple economically motivated model for the price evolution [J. Phys. A: Gen. Math 33, 3637 (2000)] to the phenomenological renormalization group scaling of stock markets. This mapping gives insight into the critical exponents and the renormalization group predictions for the log-periodic oscillations preceding some stock market crashes from the perspective of non-linear changes in `the level of stocks'.