uu.seUppsala University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
A dynamical approach to stock market fluctuations
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
2011 (English)In: International Journal of Bifurcation and Chaos in Applied Sciences and Engineering, ISSN 0218-1274, Vol. 21, no 12, 3557-3564 p.Article in journal (Refereed) Published
Abstract [en]

The recent turbulence on the world's stock markets has reinvigorated the attack on classical economic models of stock market fluctuations. The key problem is determining a dynamic model, which is consistent with observed fluctuations and which reflects investor behavior. Here, we use a novel equation-free approach developed in nonlinear dynamics literature to identify the salient statistical features of fluctuations of the Dow Jones Industrial Average over the past 80 years. We then develop a minimal dynamical model in the form of a stochastic differential equation involving both additive and multiplicative system-noise couplings, which captures these features and whose parameterization on a time scale of days can be used to capture market distributions up to a time scale of months. The terms in the model can be directly linked to "herding" behavior on the part of traders. However, we show that parameters in this model have changed over a number of decades producing different market regimes. This result partially explains how, during some periods of history, "classic" economic models may work well and at other periods "econo-physics" models prove better.

Place, publisher, year, edition, pages
2011. Vol. 21, no 12, 3557-3564 p.
Keyword [en]
Econophysics, stochastic processes, extreme events
National Category
Natural Sciences
Identifiers
URN: urn:nbn:se:uu:diva-169985DOI: 10.1142/S0218127411030726ISI: 000300016000011OAI: oai:DiVA.org:uu-169985DiVA: diva2:508323
Available from: 2012-03-08 Created: 2012-03-07 Last updated: 2017-12-07Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Authority records BETA

Nicolis, Stamatios C.Sumpter, David J. T.

Search in DiVA

By author/editor
Nicolis, Stamatios C.Sumpter, David J. T.
By organisation
Analysis and Applied Mathematics
In the same journal
International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
Natural Sciences

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 480 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf