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- W2053247359 abstract "Recently it was shown that distributions of short-term price fluctuations in foreign-currency exchange exhibit striking similarities to those of velocity differences in turbulent flows. Similar profiles represent the spectral-diffusion behavior of impurity molecules in disordered solids at low temperatures. It is demonstrated that a microscopic statistical theory of the spectroscopic line shapes can be applied to the other two phenomena. The theory interprets the financial data in terms of information which becomes available to the traders and their reactions as a function of time. The analysis shows that there is no characteristic time scale in financial markets, but that instead stretched-exponential or algebraic memory functions yield good agreement with the price data. For an algebraic function, the theory yields truncated Lévy distributions which are often observed in stock exchange markets." @default.
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- W2053247359 date "1999-08-01" @default.
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- W2053247359 title "Microscopic analysis of currency and stock exchange markets" @default.
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- W2053247359 doi "https://doi.org/10.1103/physreve.60.1441" @default.
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