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VGU RESEARCH REPOSITORY


Please use this identifier to cite or link to this item: https://epub.vgu.edu.vn/handle/dlibvgu/681
Title: Self-organized criticality in financial markets research
Authors: Truong Huynh Sang 
Keywords: Self-organized criticality;Financial market
Issue Date: 2017
Publisher: Vietnamese-German University
Abstract: 
It has been discussed in diverse studies that the financial time series demonstrate the heavy-tailed distribution and volatility clustering, which are considered as stylized facts. While the conventional theorems is floundering in explaining these phenomenon properly, econophysics have contributed their complexity approach in rationalized the conflicts. One of the prominent concepts of Physics which gained attention in financial markets is Self-Organized Criticality. The thesis will mainly discuss this notion and its explanatory power in explaining financial turbulence as well as its application in exploring the system’s dynamics. The empirical work will be a minor critical assessment of the existence of power-law distribution in the tail behavior of the stock returns in Vietnam, which may be explained by self-organized criticality.
URI(1): http://epub.vgu.edu.vn/handle/dlibvgu/681
Rights: Attribution-NonCommercial 4.0 International
Appears in Collections:Finance & Accounting (FA)

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