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Physica A 302 (2001) 126137 www.elsevier.com/locate/physa
 

Summary: Physica A 302 (2001) 126­137
www.elsevier.com/locate/physa
Quantifying economic uctuations
H. Eugene Stanleya;
, Luis A. Nunes Amarala
, Xavier Gabaixb
,
Parameswaran Gopikrishnana
, Vasiliki Pleroua
aCenter for Polymer Studies and Department of Physics, Boston University, Boston, MA 02215, USA
bDepartment of Economics, Massachusetts Institute of Technology, Cambridge, MA 02142, USA
Dedicated to Professor Dr. H.A. Weidenmuller on the occasion of his 65th birthday
Abstract
This manuscript is a brief summary of a talk designed to address the question of whether
two of the pillars of the ˙eld of phase transitions and critical phenomena--scale invariance
and universality--can be useful in guiding research on interpreting empirical data on economic
uctuations. Using this conceptual framework as a guide, we empirically quantify the relation
between trading activity--measured by the number of transactions N--and the price change G(t)
for a given stock, over a time interval [t; t + t]. We relate the time-dependent standard de-
viation of price changes--volatility--to two microscopic quantities: the number of transactions

  

Source: Amaral, Luis A.N. - Department of Chemical and Biological Engineering, Northwestern University
Stanley, H. Eugene - Department of Physics, Boston University

 

Collections: Biology and Medicine; Computer Technologies and Information Sciences; Materials Science; Physics