An explanation for the universal 3.5 power-law observed in currency markets

作者：Johnson Nicholas A; Johnson Neil F^*

来源：Results in Physics, 2016, 6: 48-49.

DOI：10.1016/j.rinp.2016.01.009

• Complex systems
• Econophysics
• Collective
• Power law

We present a mathematical theory to explain a recent empirical finding in the Physics literature (Zhao et al., 2013) in which the distributions of waiting-times between discrete events were found to exhibit power-law tails with an apparent universal exponent: a similar to 3.5. This new theory provides the first ever qualitative and quantitative explanation of Zhao et al.'s surprising finding. It also provides a mechanistic description of the origin of the observed universality, assigning its cause to the emergence of dynamical feedback processes between evolving clusters of like-minded agents.

• 出版日期2016