relation: http://eprints.imtlucca.it/264/
title: Common scaling behavior in finance and macroeconomics
creator: Podobnik, Boris
creator: Horvatic, Davor
creator: Petersen, Alexander M.
creator: Njavro, M.
creator: Stanley, H. Eugene
subject: HB Economic Theory
subject: HG Finance
subject: QC Physics
description: In order to test whether scaling exists in finance at the world level, we test whether the average growth rates and volatility of market capitalization (MC) depend on the level of MC. We analyze the MC for 54 worldwide stock indices and 48 worldwide bond indices. We find that (i) the average growth rate   r   of the MC and (ii) the standard deviation (r) of growth rates r decrease both with MC as power laws, with exponents w = 0.28 ± 0.09 and w  = 0.12 ± 0.04. We define a stochastic process in order to model the scaling results we find for worldwide stock and bond indices. We establish a power-law relationship between the MC of a country’s financial market and the gross domestic product (GDP) of the same country. 
date: 2010
type: Article
type: PeerReviewed
identifier:   Podobnik, Boris and Horvatic, Davor and Petersen, Alexander M. and Njavro, M. and Stanley, H. Eugene  Common scaling behavior in finance and macroeconomics.  The European Physical Journal B, 76 (4).  pp. 487-490.  ISSN 1434-6028      (2010)  
relation: http://dx.doi.org/10.1140/epjb/e2009-00380-3
relation: doi:10.1140/epjb/e2009-00380-3