895 citations · 3.9k across the 10 of their papers we have counts for
5 papers · 1 filter
Scaling of the distribution of price fluctuations of individual companies
V. Plerou, P. Gopikrishnan, L. A. N. Amaral +2
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major…
Apparent multifractality in financial time series
Jean-Philippe Bouchaud, Marc Potters, Martin Meyer
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofr…
Ivory Tower Universities and Competitive Business Firms
Vasiliki Plerou, Luis A. Nunes Amaral, Parameswaran Gopikrishnan +2
There is nowadays considerable interest on ways to quantify the dynamics of research activities, in part due to recent changes in research and development (R&D) funding. Here, we s…
Scaling of the distribution of fluctuations of financial market indices
Parameswaran Gopikrishnan, Vasiliki Plerou, Luis A. Nunes Amaral +2
We study the distribution of fluctuations over a time scale (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately…
The statistical properties of the volatility of price fluctuations
Yanhui Liu, Parameswaran Gopikrishnan, Pierre Cizeau +3
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price c…