arXiv
Open Access
2020
Market laws
Caglar Tuncay
Abstrak
More than one billion data sampled with different frequencies from several financial instruments were investigated with the aim of testing whether they involve power law. As a result, a known power law with the power exponent around -4 was detected in the empirical distributions of the relative returns. Moreover, a number of new power law behaviors with various power exponents were explored in the same data. Further on, a model based on finite sums over numerous Maxwell-Boltzmann type distribution functions with random (pseudorandom) multipliers in the exponent were proposed to deal with the empirical distributions involving power laws. The results indicate that the proposed model may be universal.
Topik & Kata Kunci
Penulis (1)
C
Caglar Tuncay
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2020
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓