A POSSIBLE CONNECTION BETWEEN SOME STATISTICAL MODELS IN ECONOPHYSICS AND THE BVB (BUCHAREST STOCK EXCHANGE) EVOLUTION
Pages 84-87
Dorina Andru Vangheli
Abstract
The existence of stylized facts in real stock market data (volatility, clustering, stock properties, etc.) was at the origin of the introduction of the statistical description of some spin-like models in econophysics. In a previous article [4] we connected these results with real BVB and SP&P data for the time series in the 2001-2003 time period. In this work, the statistical analysis is extended for the BVB over the 01.01.2005 - 11.11.2005 time period.