On the origin of power-law tails in price fluctuations
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1088/1469-7688/4/1/C01
Reference18 articles.
1. A theory of power-law distributions in financial market fluctuations
2. Quantifying stock-price response to demand fluctuations
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4. More statistical properties of order books and price impact
5. Bouchaud, J-P, Gefen, Y, Potters, M and Wyart, M. 2003. “Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes”.Preprintcond-mat/0307332
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