Scaling behaviour in the dynamics of an economic index

  title={Scaling behaviour in the dynamics of an economic index},
  author={Rosario N. Mantegna and Harry Eugene Stanley},
THE large-scale dynamical properties of some physical systems depend on the dynamical evolution of a large number of nonlinearly coupled subsystems. Examples include systems that exhibit self-organized criticality1 and turbulence2,3. Such systems tend to exhibit spatial and temporal scaling behaviour–power–law behaviour of a particular observable. Scaling is found in a wide range of systems, from geophysical4 to biological5. Here we explore the possibility that scaling phenomena occur in… Expand
Scaling and criticality in a stochastic multi-agent model of a financial market
Financial prices have been found to exhibit some universal characteristics that resemble the scaling laws characterizing physical systems in which large numbers of units interact. This raises theExpand
A multi-interacting-agent model for financial markets
Microscopic models, which resemble random magnetic systems, have been used recently in the literature for the description of financial markets. In the present work, a model with many interactingExpand
Scale invariance and universality of economic fluctuations
In recent years, physicists have begun to apply concepts and methods of statistical physics to study economic problems, and the neologism “econophysics” is increasingly used to refer to this work.Expand
An Introduction to Econophysics: Correlations and Complexity in Finance
Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems. Expand
Emergent behavior in multiplicative critical processes and applications to economy
The main objective of this thesis is to develop a theoretical foundation for the study of economic phenomena based on methods of statistical physics applied to a system composed by set ofExpand
Non-Gaussian stochastic models and their applications in econophysics
During the last decades, an increasing number of physicists has begun interesting in financial issues. Their major effort has been analysing and modeling the complex behaviour of financial marketsExpand
Quantifying fluctuations in economic systems by adapting methods of statistical physics
The emerging subfield of econophysics explores the degree to which certain concepts and methods from statistical physics can be appropriately modified and adapted to provide new insights intoExpand
Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series
We investigate the use of the Hurst exponent, dynamically computed over a weighted moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out asExpand
The gradually truncated Lévy flight: Stochastic process for complex systems
Power-law distributions, i.e. Levy flights have been observed in various economical, biological, and physical systems in high-frequency regime. These distributions can be successfully explained viaExpand
Recent studies have established that macroeconomic time series exhibit fractal properties. Empirical tests here demonstrate that interest rates, exchange rates, output and prices all show evidence ofExpand


Anomalous diffusion in disordered media: Statistical mechanisms, models and physical applications
Abstract The subject of this paper is the evolution of Brownian particles in disordered environments. The “Ariadne's clew” we follow is understanding of the general statistical mechanisms which mayExpand
The multifractal nature of turbulent energy dissipation
The intermittency of the rate of turbulent energy dissipation e is investigated experimentally, with special emphasis on its scale-similar facets. This is done using a general formulation in terms ofExpand
Lévy walks and enhanced diffusion in Milan stock exchange
Abstract We perform statistical analyses of the general and sectorial historical M.I.B. indices of the Milan stock exchange. Our analyses show that the price indices have statistical properties whichExpand
Nonlinear Dynamics and Stock Returns
Simple deterministic systems are capable of generating chaotic output that "mimics" the output of stochastic systems. For this reason, algorithms have been developed to distinguish between these twoExpand
Stochastic process with ultraslow convergence to a Gaussian: The truncated Lévy flight.
A well-defined crossover is found between a L\'evy and a Gaussian regime, and that the crossover carries information about the relevant parameters of the underlying stochastic process. Expand
Self-organized criticality in a continuous, nonconservative cellular automaton modeling earthquakes.
A new nonconservative self-organized critical model is introduced that is equivalent to a quasistatic two-dimensional version of the Burridge-Knopoff spring-block model of earthquakes and displays a robust power-law behavior. Expand
Universality and scaling in fully developed turbulence
Abstract The small scale velocity fluctuations in high Reynolds number incompressible fluid turbulence exhibit universal scaling properties independent of the large scale flow structures. TheExpand
On the Stable Paretian Behavior of Stock-Market Prices
Abstract In this article we present some empirical evidence which indicates that attempts to represent the probability distribution of the rates of return on common stocks by a member of the stableExpand
Self-organized criticality: An explanation of the 1/f noise.
We show that dynamical systems with spatial degrees of freedom naturally evolve into a self-organized critical point. Flicker noise, or 1/f noise, can be identified with the dynamics of the criticalExpand
ARCH modeling in finance: A review of the theory and empirical evidence
Although volatility clustering has a long history as a salient empirical regularity characterizing high-frequency speculative prices, it was not until recently that applied researchers in financeExpand