An introduction to statistical finance

DOI10.1016/S0378-4371(02)01039-7MaRDI QIDQ699524zbMATH OpenOpenAlexFDO

Authors Jean-Philippe Bouchaud

Publication date 24 September 2002

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(02)01039-7

zbMATH Keywords

agent-base modelseconophysicsfinancial time series

Mathematics Subject Classification ID

Heterogeneous agent models (91B69) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84)

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Cites work

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Cited in

(14)

• Possible origin of the non-linear long-term autocorrelations within the Gaussian regime
• Pavlovian prisoner's dilemma-analytical results, the \textit{quasi}-regular phase and spatio-temporal patterns
• Increase in equilibrium price by fast oscillations
• scientific article; zbMATH DE number 5982712 (Why is no real title available?)
• On non-Gaussianity and dependence in financial time series: a nonextensive approach
• Intelligent finance—an emerging direction
• PRISONER'S DILEMMA IN ONE-DIMENSIONAL CELLULAR AUTOMATA: VISUALIZATION OF EVOLUTIONARY PATTERNS
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
• scientific article; zbMATH DE number 1064370 (Why is no real title available?)
• Fundamentalists, chartists and asset pricing anomalies
• Empirical properties of asset returns: stylized facts and statistical issues
• scientific article; zbMATH DE number 1865396 (Why is no real title available?)
• A micro-to-macro approach to returns, volumes and waiting times
• A simple finite-difference stock market model involving intrinsic value

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