| Issue |
Europhys. Lett.
Volume 41, Number 3, february I 1998
|
|
|---|---|---|
| Page(s) | 239 - 244 | |
| Section | General | |
| DOI | https://doi.org/10.1209/epl/i1998-00136-9 | |
| Published online | 01 September 2002 | |
Financial markets as adaptive systems
1
Science &
Finance, 109-111 rue Victor Hugo,
92532 Levallois Cedex,
France
2
Service de Physique de l'État
Condensé,
Centre d'études de Saclay,
Orme des
Merisiers, 91191 Gif-sur-Yvette Cedex, France
3
Laboratoire de Physique de la Matière Condensée CNRS URA 190,
Université de Nice, Sophia Antipolis B.P. 70, 06108 Nice, France
Received:
18
June
1997
Accepted:
3
December
1997
We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: “fat tails” and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in the price fixed by the market as a whole. Financial markets thus behave as rather efficient adaptive systems.
PACS: 02.50.-r – Probability theory, stochastic processes, and statistics / 05.40.+j – Fluctuation phenomena, random processes, and Brownian motion / 89.90.+n – Other areas of general interest to physicists
© EDP Sciences, 1998
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