Parameswaran Gopikrishnan

TL;DR: This article present an overview of recent research joining practitioners of economic theory and statistical physics to try to better understand puzzles regarding economic fluctuations, including how to describe outliers, phenomena that lie outside of patterns of statistical regularity.

TL;DR: In this paper, the authors investigated the relation between trading activity and price change for a given stock, over a time interval [t; t + t], and the time-dependent standard deviation of price uctuation s { volatility { to two microscopic quantities: the number of transactions N t in t and the variance W 2 t of the price changes for all transactions in t. They found that the distribution of Q t is consistent with a stable L evy distribution.

TL;DR: In this article, the authors present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets, and derive the optimal trading behavior of these investors, which allows them to provide a unified explanation for apparently disconnected empirical regularities in returns, trading volume and investor size.

TL;DR: This paper analyzed 1-minute data on a stock index, the Standard and Poor index of the 500 largest stocks, and found that the fluctuations in the volatility are correlated, and that the correlations are well described by a power law.

TL;DR: In this article, the authors present an overview of recent research joining ideas of economic theory and statistical physics to better understand puzzles regarding economic fluctuations, including how to describe outliers, phenomena that lie outside of patterns of statistical regularity.