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Understanding the cubic and half-cubic laws of financial fluctuations

✍ Scribed by Xavier Gabaix; Parameswaran Gopikrishnan; Vasiliki Plerou; H.Eugene Stanley

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
108 KB
Volume
324
Category
Article
ISSN
0378-4371

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✦ Synopsis

Recent empirical research has uncovered regularities in ΓΏnancial uctuations. Those are: (i) the cubic law of returns: returns follow a power law distribution with exponent 3; (ii) the half cubic law of volumes: volumes follow a power law distribution with exponent 3 2 ; (iii) Approximate cubic law of number of trades: the number of trades in a given time intervals follows a power law distribution with exponent around 3. We discuss a new theory that explains them, as well as some related facts.

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## Abstract Local cubic law (LCL) is one of the most commonly applied physical laws for flow in single fractures (SF) and fractured media. The foundation of LCL is Darcian flow. This experimental study examines if LCL is valid for flow in a single rough fracture and how the fracture roughness and R