Economic mapping to the renormalization group scaling of stock markets
The Abdus Salam International Centre for Theoretical
Physics, PO Box 586, 34100 Trieste, Italy
Corresponding author: a firstname.lastname@example.org
Published online: 15 April 2001
We make an attempt to map a simple economically motivated model for price evolution [J. Phys. A 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 stock'.
PACS: 89.90+n – Other topics in aeras of applied and interdisciplinary physics / 64.60Ak – Renormalization-group, fractal, and percolation studies of phase transitions
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2001