Victor M. Yakovenko

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In a closed economic system, money is conserved. Thus, by analogy with energy, the equilibrium probability distribution of money must follow the exponential Boltzmann-Gibbs law characterized by an effective temperature equal to the average amount of money per economic agent. We demonstrate how the Boltzmann-Gibbs distribution emerges in computer simulations(More)
  • A Christian Silva, Richard E Prange, Victor M Yakovenko, V M Yakovenko
  • 2004
We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times the bulk of the distribution (more than 99% of the probability) follows an exponential law. The slope of the(More)
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random walk (CTRW) framework. The probability distribution of the stock price changes (log-returns) for a given number of trades(More)
We predict a complete TM↔TE transformation of the polarization of terahertz electromagnetic waves reflected from a strongly anisotropic boundary of a layered superconductor. We consider the case when the wave is incident on the superconductor from a dielectric prism separated from the sample by a thin vacuum gap. The physical origin of the predicted(More)
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