Economics Mapping to the Renormalization Group Scaling of Stock Markets
arXiv:cond-mat/0008300 · doi:10.1007/PL00011113
Abstract
We make an attempt to map a simple economically motivated model for the price evolution [J. Phys. A: Gen. Math 33, 3637 (2000)] to the phenomenological renormalization group scaling of stock markets. This mapping gives insight into the critical exponents and the renormalization group predictions for the log-periodic oscillations preceding some stock market crashes from the perspective of non-linear changes in `the level of stocks'.
9 pages, RevTex, 2 PostScript figures