Work

Stock market dynamics and turbulence: parallel analysis of fluctuation phenomena

Year: 1997

Type: article

Abstract: We report analogies and differences between the fluctuations in an economic index and the fluctuations in velocity of a fluid in a fully turbulent state. Specifically, we systematically compare (i) the statistical properties of the S&P 500 cash index recorded during the period January 84–December 89 with (ii) the statistical properties of the velocity of turbulent air measured in the atmospheric surface layer about 6 m above a wheat canopy in the Connecticut Agricultural Research Station. We find non-Gaussian statistics, and intermittency, for both processes (i) and (ii) but the deviation from a Gaussian probability density function are different for stock market dynamics and turbulence.

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/s0378-4371(96)00484-0

Authors: Rosario N. Mantegna, H. Eugene Stanley

Institutions: University of Palermo, Boston University

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,550

Funder: National Science Foundation