A process-reconstruction analysis of market fluctuations

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dc.creatorMendes, R. Vilela
dc.creatorLima, R.
dc.creatorAraujo, T.
dc.date2001-02-16
dc.date.accessioned2026-07-07T12:06:32Z
dc.date.available2026-07-07T12:06:32Z
dc.descriptionThe statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is carried out for market fluctuation processes. Gibbs measures and chains with complete connections are considered. Some other topics are also discussed, in particular the asymptotic stationarity of the processes and the behavior of statistical indicators of level (1) and (2). We end up with some remarks concerning the nature of the market fluctuation process.
dc.description29 pages Latex, 16 eps-figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0102301
dc.identifierhttp://arxiv.org/abs/cond-mat/0102301
dc.identifierInt. Journal of Theor. and Applied Finance 5 (2002) 797
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208680
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleA process-reconstruction analysis of market fluctuations
dc.typetext

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