eprintid: 264
rev_number: 12
eprint_status: archive
userid: 27
dir: disk0/00/00/02/64
datestamp: 2011-07-04 09:21:40
lastmod: 2016-04-06 08:01:12
status_changed: 2011-07-04 09:21:40
type: article
metadata_visibility: show
item_issues_count: 0
creators_name: Podobnik, Boris
creators_name: Horvatic, Davor
creators_name: Petersen, Alexander M.
creators_name: Njavro, M.
creators_name: Stanley, H. Eugene
creators_id: 
creators_id: 
creators_id: alexander.petersen@imtlucca.it
creators_id: 
creators_id: 
title: Common scaling behavior in finance and macroeconomics
ispublished: pub
subjects: HB
subjects: HG
subjects: QC
divisions: EIC
full_text_status: none
note: PACS  89.65.Gh Economics; econophysics, financial markets, business and management - 89.65.-s Social and economic systems - 89.75.Da Systems obeying scaling laws - 02.50.Ey Stochastic processes 
abstract: 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
date_type: published
publication: The European Physical Journal B
volume: 76
number: 4
pagerange: 487-490
id_number: doi:10.1140/epjb/e2009-00380-3
refereed: TRUE
issn: 1434-6028
official_url: http://dx.doi.org/10.1140/epjb/e2009-00380-3
citation:   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)