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In addressing the precipitous drop in trade volumes in the recent
crisis, the real and financial explanations have sometimes been juxtaposed as competing explanations. However, they can be reco...
Maximum entropy distribution of stock price fluctuations
Maximum entropy distribution stock price fluctuations
2011/7/4
The principle of absence of arbitrage opportunities allows obtaining the distribution of
stock price fluctuations by maximizing its information entropy. This leads to a physical
description of the u...
Universal Fluctuations of AEX index
Econophysics Interdisciplinary Statistics Financial Market
2010/10/19
We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the...
We compute the analytic expression of the probability distributions F{FTSE100,+} and F{FTSE100,-} of the normalized positive and negative FTSE100 (UK) index daily returns r(t). Furthermore, we define ...
In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily ret...