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Type: Journal article
Title: Self-organized criticality and stock market dynamics: an empirical study
Author: Bartolozzi, M.
Leinweber, D.
Thomas, A.
Citation: Physica A: Statistical Mechanics and its Applications, 2005; 350(2-4):451-465
Publisher: Elsevier Science BV
Issue Date: 2005
ISSN: 0378-4371
Department: Centre for the Sub-Atomic Structure of Matter
Statement of
M. Bartolozzi, D.B. Leinweber, and A.W. Thomas
Abstract: The Stock Market is a complex self-interacting system, characterized by an intermittent behaviour. Periods of high activity alternate with periods of relative calm. In the present work we investigate empirically about the possibility that the market is in a self-organized critical state (SOC). A wavelet transform method is used in order to separate high activity periods, related to the avalanches of sandpile models, from quiescent. A statistical analysis of the filtered data show a power law behaviour in the avalanche size, duration and laminar times. The memory process, implied by the power law distribution, of the laminar times is not consistent with classical conservative models for self-organized criticality. We argue that a ``near-SOC'' state or a time dependence in the driver, which may be chaotic, can explain this behaviour.
Keywords: Complex systems
Self-organized criticality
Description: Copyright © 2004 Elsevier B.V. All rights reserved. Submitted to Cornell University’s online archive in 2004 by Roland Marco Bartolozzi. Post-print sourced from
DOI: 10.1016/j.physa.2004.11.061
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Appears in Collections:Aurora harvest 6
Special Research Centre for the Subatomic Structure of Matter publications

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