Browsing by Author "Fuentes, M"

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Browsing by Author "Fuentes, M"

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  • Gerig, Austin; Vicente, J; Fuentes, M (American Physical Society, 2009)
    Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday ...
  • Fuentes, M; Gerig, Austin; Vicente, J (Public library of Science, 2009)
    Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock ...