A statistical physics view of financial fluctuations: Evidence for scaling and universality

The unique scaling behavior of financial time series have attracted the research interest of physicists. Variables such as stock returns, share volume, and number of trades have been found to display distributions that are consistent with a power-law tail. We present an overview of recent research joining practitioners of economic theory and statistical physics to try to understand better some puzzles regarding economic fluctuations. One of these puzzles is how to describe outliers, i.e. phenomena that lie outside of patterns of statistical regularity. We review recent research, which suggests that such outliers may not in fact exist and that the same laws seem to govern outliers as well as day-to-day fluctuations.