Abstract
We discuss recent empirical results obtained by analyzing high-frequency data of a stock market index, the Standard and Poor’s 500. We focus on the scaling properties and on its breakdown of the index dynamics. A simple stochastic model, the truncated Lévy flight, is illustrated. Successes and limitations of this model are presented. A discussion about similarities and differences between the scaling properties observed in financial markets and in fully developed turbulence is also provided.
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Mantegna, R.N., Stanley, H.E. Econophysics: Scaling and its breakdown in finance. J Stat Phys 89, 469–479 (1997). https://doi.org/10.1007/BF02770777
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DOI: https://doi.org/10.1007/BF02770777