Economic mapping to the renormalization group scaling of stock markets

摘要

We make an attempt to map a simple economically motivated model for price evolution [J. Phys. A 33, 3637 (2000)] to the phenomenological renormalization group scaling of stock markets. This mapping gives insight into the critical exponents and the renormalization group predictions for the log-periodic oscillations preceding some stock market crashes from the perspective of non-linear changes in 'the level of stock'.