Dynamics of Markets
option pricingstochastic processescapital asset pricing modelthermodynamics vs. instability of markets
Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Research exposition (monographs, survey articles) pertaining to statistical mechanics (82-02) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Microeconomic theory (price theory and economic markets) (91B24) Foundations of time-dependent statistical mechanics (82C03)
- Classical ergodicity and modern portfolio theory
- Between complexity of modelling and modelling of complexity: an essay on econophysics
- Wealth dynamics in a multi-aggregate closed monetary system
- Accounting for risk of non linear portfolios. A novel Fourier approach
- Stochastic processes. From physics to finance
- A virtual field-based conceptual framework for the simulation of complex social systems
- Economic system dynamics
- Thermodynamic analogies in economics and finance: instability of markets
- Valuing options in shot noise market
- The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists
- Evolutionary model of stock markets
- Econophysics and physical economics
- Complexity Analysis and Systemic Risk in Finance: Some Methodological Issues
- Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
- The chaotic attractor analysis of DJIA based on manifold embedding and Laplacian eigenmaps
- Econophysics of order-driven markets. Proceedings of the 5th Econophys-Kolkata conference, Kolkata, India, March 2010
- Introduction to macro-econophysics and finance
- Which robust versions of sample variance and sample covariance are most appropriate for econometrics: symmetry-based analysis
- Empirically successful transformations from non-Gaussian to close-to-Gaussian distributions: theoretical justification
- Ethics in quantitative finance. A pragmatic financial market theory
- Post Keynesian perspectives and complex ecologic-economic dynamics
- Market dynamics: bridging security price movements and classical physics
- The principle of social scaling
- Dynamics of Markets
- Economic foundations for finance. From Main Street to Wall Street
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