Fluctuations of stock price model by statistical physics systems

DOI10.1016/j.mcm.2009.12.003zbMath1190.91117OpenAlexW2061336862MaRDI QIDQ984186

Jun Wang, Qiuyuan Wang, Jiguang Shao

Publication date: 16 July 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.12.003

zbMATH Keywords

critical valueGibbs measurerandom continuum percolationstatistical physics modelstock price process

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Threshold bipower variation and the impact of jumps on volatility forecasting
• The statistical properties of the interfaces for the lattice Widom--Rowlinson model
• MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS
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