arXiv Open Access 2001

Power law relaxation in a complex system: Omori law after a financial market crash

Fabrizio Lillo Rosario N. Mantegna

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Abstrak

We study the relaxation dynamics of a financial market just after the occurrence of a crash by investigating the number of times the absolute value of an index return is exceeding a given threshold value. We show that the empirical observation of a power law evolution of the number of events exceeding the selected threshold (a behavior known as the Omori law in geophysics) is consistent with the simultaneous occurrence of (i) a return probability density function characterized by a power law asymptotic behavior and (ii) a power law relaxation decay of its typical scale. Our empirical observation cannot be explained within the framework of simple and widespread stochastic volatility models.

Topik & Kata Kunci

cond-mat.stat-mech q-fin.ST

Penulis (2)

Fabrizio Lillo

Rosario N. Mantegna

Format Sitasi

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Lillo, F., Mantegna, R.N. (2001). Power law relaxation in a complex system: Omori law after a financial market crash. https://arxiv.org/abs/cond-mat/0111257

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Informasi Jurnal

Tahun Terbit: 2001
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓