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