Statistics of market changes

L.-B. Chang and S. Geman. Empirical scaling laws and the aggregation of non-stationary data. Physica A, 392(20), 2013, 5046-5052. (pdf)

l.-B. Chang, S. Geman, F. Hsieh, and C.R. Hwang. Invariance in the recurrence of large returns and the validation of models of price dynamics. Physical Review E, 88(2), 2013, 022116-1:022116-15. (pdf)