Power law relaxation in a complex system: Omori law after a financial market crash
| dc.creator | Lillo, Fabrizio | |
| dc.creator | Mantegna, Rosario N. | |
| dc.date | 2001-11-14 | |
| dc.date | 2003-06-03 | |
| dc.date.accessioned | 2026-07-07T12:06:37Z | |
| dc.date.available | 2026-07-07T12:06:37Z | |
| dc.description | We study the relaxation dynamics of a financial market just after the occurrence of a crash by investigating the number of times the absolute value of an index return is exceeding a given threshold value. We show that the empirical observation of a power law evolution of the number of events exceeding the selected threshold (a behavior known as the Omori law in geophysics) is consistent with the simultaneous occurrence of (i) a return probability density function characterized by a power law asymptotic behavior and (ii) a power law relaxation decay of its typical scale. Our empirical observation cannot be explained within the framework of simple and widespread stochastic volatility models. | |
| dc.description | 4 pages,4 figures, accepted in PRE | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0111257 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0111257 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208704 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Statistical Finance | |
| dc.title | Power law relaxation in a complex system: Omori law after a financial market crash | |
| dc.type | text |