Acta Physica Polonica B

Vol. 35, No. 5, May 2004, page 1751


Deficit in Small Returns on Inefficient Market

D. Makowiec

The proposition of micro dynamics, called amplified imitation, is given to explain the property, called deficit in small returns, found in the return distributions of stocks traded on Polish stock market. The micro dynamics is verified in the Cont-Bouchaud model of a stock market.

PACS numbers: 89.90.+n, 05.40.+j


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