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- W2023588799 abstract "We show that the minute fluctuations of S&P 500 and NASDAQ 100 indices show Boltzmann statistics over a wide range of positive as well as negative returns, thus allowing us to define a market temperature for either sign. With increasing time the sharp Boltzmann peak broadens into a Gaussian whose volatility σ measured in 1/min is related to the temperature T by T=σ/2. Plots over the years 1990–2006 show that the arrival of the 2000 crash was preceded by an increase in market temperature, suggesting that this increase can be used as a warning signal for crashes." @default.
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- W2023588799 date "2007-09-01" @default.
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- W2023588799 title "Boltzmann distribution and market temperature" @default.
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- W2023588799 doi "https://doi.org/10.1016/j.physa.2007.04.101" @default.
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