Fractal Properties in Economics

Abstract

Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition mechanism. By analyzing tick data of yen-dollar exchange rates we confirm two fractal properties: 1. the distribution of rate change in a fixed ticks is approximated by a symmetric stretched exponential function for a wide range of time intervals; 2. the interval time distribution of trades nearly follows a power law. Empirical fractal properties in companies' financial data, such as distributions and fluctuations in assets and incomes are discussed with a simple model. The importance of methods and theories for phase transitions is discussed.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 2000
Accession Number
ADP010916

Entities

People

  • Hideki Takayasu
  • Kouhei Marumo
  • Misako Takayasu
  • Mitsuhiro P. Okazaki
  • Tokiko Shimizu

Tags

Communities of Interest

  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Computer Science
  • Data Analysis
  • Distribution Functions
  • Economic Systems
  • Economics
  • Electronic Mail
  • Equations
  • Exponential Functions
  • Mathematical Models
  • Models
  • Money
  • Normal Distribution
  • Phase Transformations
  • Probability
  • Random Variables
  • Statistics
  • Stochastic Processes

Readers

  • Control Systems Engineering.
  • Economics
  • Theoretical Analysis.