An explanation for the universal 3.5 power-law observed in currency markets

Clicks: 123
ID: 28543
2016
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Abstract
We present a mathematical theory to explain a recent empirical finding in the Physics literature (Zhao et al., 2013) in which the distributions of waiting-times between discrete events were found to exhibit power-law tails with an apparent universal exponent: α∼3.5. This new theory provides the first ever qualitative and quantitative explanation of Zhao et al.’s surprising finding. It also provides a mechanistic description of the origin of the observed universality, assigning its cause to the emergence of dynamical feedback processes between evolving clusters of like-minded agents. Keywords: Complex systems, Econophysics, Collective, Power law
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johnson2016anresults Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Johnson, Nicholas A.;Johnson, Neil F.;
Journal results in physics
Year 2016
DOI
DOI not found
URL
http://www.sciencedirect.com/science/article/pii/S2211379716000103
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