lot of physicists and economists have contributed to studies showing analogies between physical complex systems and economic and financial markets. In this paper we have compared the complex system of earthquakes with Internet, social media and finance. In particular, we have observed as Omori’s law conforms in both to the evolution of the tweets and to the securities exchanged on the financial market after dissemination of information. The analysis of empirical data concerns companies operating in the market. We have tested the relationships between variables through Person correlation coefficient and the relationship between phenomena with power trend-lines. We show that these complex financial systems follow a specific law that is related to the Omori’s law.
Financial markets, shocks and Omori-Utsu law
Vincenzo Pacelli;LUCA GRILLI
2018-01-01
Abstract
lot of physicists and economists have contributed to studies showing analogies between physical complex systems and economic and financial markets. In this paper we have compared the complex system of earthquakes with Internet, social media and finance. In particular, we have observed as Omori’s law conforms in both to the evolution of the tweets and to the securities exchanged on the financial market after dissemination of information. The analysis of empirical data concerns companies operating in the market. We have tested the relationships between variables through Person correlation coefficient and the relationship between phenomena with power trend-lines. We show that these complex financial systems follow a specific law that is related to the Omori’s law.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
