{"id":"https://openalex.org/W2065848988","doi":"https://doi.org/10.1142/s0218127411030726","title":"A DYNAMICAL APPROACH TO STOCK MARKET FLUCTUATIONS","display_name":"A DYNAMICAL APPROACH TO STOCK MARKET FLUCTUATIONS","publication_year":2011,"publication_date":"2011-12-01","ids":{"openalex":"https://openalex.org/W2065848988","doi":"https://doi.org/10.1142/s0218127411030726","mag":"2065848988"},"language":"en","primary_location":{"id":"doi:10.1142/s0218127411030726","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0218127411030726","pdf_url":null,"source":{"id":"https://openalex.org/S81011612","display_name":"International Journal of Bifurcation and Chaos","issn_l":"0218-1274","issn":["0218-1274","1793-6551"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Bifurcation and Chaos","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5000937364","display_name":"Stamatios C. Nicolis","orcid":"https://orcid.org/0000-0002-7118-5298"},"institutions":[{"id":"https://openalex.org/I123387679","display_name":"Uppsala University","ror":"https://ror.org/048a87296","country_code":"SE","type":"education","lineage":["https://openalex.org/I123387679"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"S. C. NICOLIS","raw_affiliation_strings":["Mathematics Department, Uppsala University, Sweden","Present address"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Mathematics Department, Uppsala University, Sweden","institution_ids":["https://openalex.org/I123387679"]},{"raw_affiliation_string":"Present address","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5021654408","display_name":"David J. T. Sumpter","orcid":"https://orcid.org/0000-0002-1436-9103"},"institutions":[{"id":"https://openalex.org/I123387679","display_name":"Uppsala University","ror":"https://ror.org/048a87296","country_code":"SE","type":"education","lineage":["https://openalex.org/I123387679"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"D. J. T. SUMPTER","raw_affiliation_strings":["Mathematics Department, Uppsala University, Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Mathematics Department, Uppsala University, Sweden","institution_ids":["https://openalex.org/I123387679"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.1575,"has_fulltext":false,"cited_by_count":9,"citation_normalized_percentile":{"value":0.9187311,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"21","issue":"12","first_page":"3557","last_page":"3564"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9851999878883362,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9726999998092651,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/herding","display_name":"Herding","score":0.7641110420227051},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.5790280699729919},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.570746123790741},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.5605329275131226},{"id":"https://openalex.org/keywords/salient","display_name":"Salient","score":0.5383011698722839},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5336682796478271},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5243478417396545},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.5191080570220947},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.5162013173103333},{"id":"https://openalex.org/keywords/turbulence","display_name":"Turbulence","score":0.4678680896759033},{"id":"https://openalex.org/keywords/multiplicative-function","display_name":"Multiplicative function","score":0.46358630061149597},{"id":"https://openalex.org/keywords/multiplicative-noise","display_name":"Multiplicative noise","score":0.4564743638038635},{"id":"https://openalex.org/keywords/stochastic-modelling","display_name":"Stochastic modelling","score":0.4187222123146057},{"id":"https://openalex.org/keywords/dynamical-systems-theory","display_name":"Dynamical systems theory","score":0.41587477922439575},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3347620964050293},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3193744719028473},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.2827354669570923},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.2124626636505127},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.14956849813461304},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.09958276152610779},{"id":"https://openalex.org/keywords/mechanics","display_name":"Mechanics","score":0.09329888224601746}],"concepts":[{"id":"https://openalex.org/C177605951","wikidata":"https://www.wikidata.org/wiki/Q1484503","display_name":"Herding","level":2,"score":0.7641110420227051},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.5790280699729919},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.570746123790741},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5605329275131226},{"id":"https://openalex.org/C2780719617","wikidata":"https://www.wikidata.org/wiki/Q1030752","display_name":"Salient","level":2,"score":0.5383011698722839},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5336682796478271},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5243478417396545},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.5191080570220947},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5162013173103333},{"id":"https://openalex.org/C196558001","wikidata":"https://www.wikidata.org/wiki/Q190132","display_name":"Turbulence","level":2,"score":0.4678680896759033},{"id":"https://openalex.org/C42747912","wikidata":"https://www.wikidata.org/wiki/Q1048447","display_name":"Multiplicative function","level":2,"score":0.46358630061149597},{"id":"https://openalex.org/C18015164","wikidata":"https://www.wikidata.org/wiki/Q6935000","display_name":"Multiplicative noise","level":5,"score":0.4564743638038635},{"id":"https://openalex.org/C127491075","wikidata":"https://www.wikidata.org/wiki/Q7617825","display_name":"Stochastic modelling","level":2,"score":0.4187222123146057},{"id":"https://openalex.org/C79379906","wikidata":"https://www.wikidata.org/wiki/Q3174497","display_name":"Dynamical systems theory","level":2,"score":0.41587477922439575},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3347620964050293},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3193744719028473},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2827354669570923},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.2124626636505127},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.14956849813461304},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09958276152610779},{"id":"https://openalex.org/C57879066","wikidata":"https://www.wikidata.org/wiki/Q41217","display_name":"Mechanics","level":1,"score":0.09329888224601746},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C131021393","wikidata":"https://www.wikidata.org/wiki/Q7512759","display_name":"Signal transfer function","level":4,"score":0.0},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0},{"id":"https://openalex.org/C84462506","wikidata":"https://www.wikidata.org/wiki/Q173142","display_name":"Digital signal processing","level":2,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C13412647","wikidata":"https://www.wikidata.org/wiki/Q174948","display_name":"Analog signal","level":3,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C9390403","wikidata":"https://www.wikidata.org/wiki/Q3966","display_name":"Computer hardware","level":1,"score":0.0},{"id":"https://openalex.org/C97137747","wikidata":"https://www.wikidata.org/wiki/Q38112","display_name":"Forestry","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1142/s0218127411030726","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0218127411030726","pdf_url":null,"source":{"id":"https://openalex.org/S81011612","display_name":"International Journal of Bifurcation and Chaos","issn_l":"0218-1274","issn":["0218-1274","1793-6551"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Bifurcation and Chaos","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.231.5649","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.231.5649","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.collective-behavior.com/publ/Nicolis2011b.pdf","raw_type":"text"},{"id":"pmh:oai:dipot.ulb.ac.be:2013/388707","is_oa":false,"landing_page_url":"http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/388707","pdf_url":null,"source":{"id":"https://openalex.org/S4306401063","display_name":"D\u00e9p\u00f4t institutionnel de l'Universit\u00e9 libre de Bruxelles (Universit\u00e9 Libre de Bruxelles)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I132053463","host_organization_name":"Universit\u00e9 Libre de Bruxelles","host_organization_lineage":["https://openalex.org/I132053463"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"International journal of bifurcation and chaos in applied sciences and engineering, 21 (12","raw_type":"info:ulb-repo/semantics/openurl/article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":41,"referenced_works":["https://openalex.org/W76127718","https://openalex.org/W1968316870","https://openalex.org/W1970151029","https://openalex.org/W1979575715","https://openalex.org/W1992446406","https://openalex.org/W1995694445","https://openalex.org/W1999917207","https://openalex.org/W2007636382","https://openalex.org/W2035995445","https://openalex.org/W2050032417","https://openalex.org/W2055256257","https://openalex.org/W2057116804","https://openalex.org/W2060539744","https://openalex.org/W2061251255","https://openalex.org/W2063583906","https://openalex.org/W2071481304","https://openalex.org/W2075922706","https://openalex.org/W2076209196","https://openalex.org/W2083685602","https://openalex.org/W2090637028","https://openalex.org/W2094782094","https://openalex.org/W2096727866","https://openalex.org/W2102787760","https://openalex.org/W2110617809","https://openalex.org/W2121489545","https://openalex.org/W2130010019","https://openalex.org/W2134065428","https://openalex.org/W2136399235","https://openalex.org/W2141731833","https://openalex.org/W2145500502","https://openalex.org/W2484638602","https://openalex.org/W2751912399","https://openalex.org/W3098041616","https://openalex.org/W3105893770","https://openalex.org/W3105959024","https://openalex.org/W3124247185","https://openalex.org/W3125246470","https://openalex.org/W3126140609","https://openalex.org/W4214518794","https://openalex.org/W4233304630","https://openalex.org/W4388114443"],"related_works":["https://openalex.org/W1970783394","https://openalex.org/W1974234008","https://openalex.org/W1985146307","https://openalex.org/W1964472661","https://openalex.org/W1624630531","https://openalex.org/W2963506427","https://openalex.org/W3126043182","https://openalex.org/W2490400802","https://openalex.org/W2172262362","https://openalex.org/W2903526167"],"abstract_inverted_index":{"The":[0,20,119],"recent":[1],"turbulence":[2],"on":[3,12,99,131],"the":[4,10,53,60,66,78,122,132],"world's":[5],"stock":[6,17],"markets":[7],"has":[8],"reinvigorated":[9],"attack":[11],"classical":[13],"economic":[14,166],"models":[15,167,176],"of":[16,57,59,80,103,117,134,149,163],"market":[18,110,153],"fluctuations.":[19],"key":[21],"problem":[22],"is":[23,29],"determining":[24],"a":[25,42,73,81,100,114,147],"dynamic":[26],"model,":[27],"which":[28,35,92],"consistent":[30],"with":[31],"observed":[32],"fluctuations":[33,58],"and":[34,88,96,171],"reflects":[36],"investor":[37],"behavior.":[38],"Here,":[39],"we":[40,137],"use":[41],"novel":[43],"equation-free":[44],"approach":[45],"developed":[46],"in":[47,77,121,141],"nonlinear":[48],"dynamics":[49],"literature":[50],"to":[51,108,113,128],"identify":[52],"salient":[54],"statistical":[55],"features":[56,95],"Dow":[61],"Jones":[62],"Industrial":[63],"Average":[64],"over":[65,146],"past":[67],"80":[68],"years.":[69],"We":[70],"then":[71],"develop":[72],"minimal":[74],"dynamical":[75],"model":[76,123,143],"form":[79],"stochastic":[82],"differential":[83],"equation":[84],"involving":[85],"both":[86],"additive":[87],"multiplicative":[89],"system-noise":[90],"couplings,":[91],"captures":[93],"these":[94],"whose":[97],"parameterization":[98],"time":[101,115],"scale":[102,116],"days":[104],"can":[105,124],"be":[106,125],"used":[107],"capture":[109],"distributions":[111],"up":[112],"months.":[118],"terms":[120],"directly":[126],"linked":[127],"\"herding\"":[129],"behavior":[130],"part":[133],"traders.":[135],"However,":[136],"show":[138],"that":[139],"parameters":[140],"this":[142],"have":[144],"changed":[145],"number":[148],"decades":[150],"producing":[151],"different":[152],"regimes.":[154],"This":[155],"result":[156],"partially":[157],"explains":[158],"how,":[159],"during":[160],"some":[161],"periods":[162,174],"history,":[164],"\"classic\"":[165],"may":[168],"work":[169],"well":[170],"at":[172],"other":[173],"\"econo-physics\"":[175],"prove":[177],"better.":[178]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2014,"cited_by_count":2}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}