Introduction to Econophysics
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Equilibrium statistical mechanics (82B99) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)
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(only showing first 100 items - show all)- Quantum probability and financial market
- Mesoscopic modelling of financial markets
- Fat tails and volatility clustering in experimental asset markets
- GPU accelerated Monte Carlo simulation of the 2D and 3D Ising model
- Isolation concepts for clique enumeration: comparison and computational experiments
- Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
- Econophysics: Scaling and its breakdown in finance
- Multifractal detrended fluctuation analysis of nonstationary time series
- Free random variables and molecular spectra
- Evolution and anti-evolution in a minimal stock market model
- Exponentially damped Lévy flights
- On the origins of truncated Lévy flights
- An empirical model of volatility of returns and option pricing
- Scaling, correlations, and cascades in finance and turbulence
- Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes
- The origin of fat-tailed distributions in financial time series
- Simulation of social processes: application to social learning
- Infinite products of large random matrices and matrix-valued diffusion
- Statistical physics and economics. Concepts, tools, and applications.
- A stochastic model of river discharge fluctuations
- Exact propagator of the Fokker-Planck equation with logarithmic factors in diffusion and drift terms
- The circulation of money and holding time distribution
- The futility of utility: how market dynamics marginalize Adam Smith
- Statistical physics in foreign exchange currency and stock markets
- Violation of interest-rate parity: a Polish example
- On financial markets trading
- The convergence of European business cycles 1978-2000
- A herding model with preferential attachment and fragmentation
- The mechanism of double-exponential growth in hyper-inflation
- Decomposing the stock market intraday dynamics
- A path integral way to option pricing
- A model for the size distribution of customer groups and businesses
- Self-organized percolation growth in regular and disordered lattices
- Ordered phase and non-equilibrium fluctuation in stock market
- Effects of imitation in a competing and evolving population
- Statistical procedures for the market graph construction
- Option pricing and portfolio hedging under the mixed hedging strategy
- Alternative way to characterize a \(q\)-Gaussian distribution by a robust heavy tail measurement
- Roles of capital flow on the stability of a market system
- Discreteness induced extinction
- First results on applying a non-linear effect formalism to alliances between political parties and buy and sell dynamics
- The St. Petersburg paradox: an experimental solution
- Anomalous volatility scaling in high frequency financial data
- Option pricing beyond Black-Scholes based on double-fractional diffusion
- Asset price and trade volume relation in artificial market impacted by value investors
- The relationship between carbon dioxide emission and economic growth: hierarchical structure methods
- Static and dynamical critical behavior of the monomer-monomer reaction model with desorption
- Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
- Understanding the determinants of volatility clustering in terms of stationary Markovian processes
- The roles of mean residence time on herd behavior in a financial market
- Multiple commodities in statistical microeconomics: model and market
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
- Gambler's ruin problem on Erdős-Rényi graphs
- Dynamic effects of memory in a cobweb model with competing technologies
- European option pricing under the Student's \(t\) noise with jumps
- Role of intensive and extensive variables in a soup of firms in economy to address long run prices and aggregate data
- Investigation on financial crises with the negative-information-propagation-induced model
- Arbitrage with fractional Gaussian processes
- Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models
- Econophysics: past and present
- Metaheuristic optimization-based identification of fractional-order systems under stable distribution noises
- On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations
- Investments in random environments
- Optimal hedging via large deviation
- Pricing currency options in the mixed fractional Brownian motion
- A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
- Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
- Risk preference, option pricing and portfolio hedging with proportional transaction costs
- Identification and validation of stable ARFIMA processes with application to UMTS data
- Influence of money distribution on civil violence model
- The ``invisible hand of economic markets can be visualized through the synergy created by division of labor
- The principle of social scaling
- Empirical analysis and agent-based modeling of the Lithuanian parliamentary elections
- A reaction-diffusion model for market fluctuations -- a relation between price change and traded volumes
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- Increase in equilibrium price by fast oscillations
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
- Efficient algorithms for heavy-tail analysis under interval uncertainty
- International finance, Lévy distributions, and the econophysics of exchange rates
- Modeling share dynamics by extracting competition structure
- Economic system dynamics
- The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
- Modeling record-breaking stock prices
- Ornstein-Uhlenbeck processes for geophysical data analysis
- Emergent quantum mechanics of finances
- The returns and risks of investment portfolio in a financial market
- Conditional statistical properties of the complex systems having long-duration memory
- Local regression type methods applied to the study of geophysics and high frequency financial data
- Measures of uncertainty in market network analysis
- Multifractal diffusion entropy analysis: optimal bin width of probability histograms
- Systemic risk and causality dynamics of the world international shipping market
- Analysis of a decision model in the context of equilibrium pricing and order book pricing
- Extracting the sovereigns' CDS market hierarchy: a correlation-filtering approach
- Evolutionary model of stock markets
- Financial time series analysis based on information categorization method
- The maximum number of 3- and 4-cliques within a planar maximally filtered graph
- Discrete scale-invariance in cross-correlations between time series
- Codifference as a practical tool to measure interdependence
- A two-dimensional non-Markovian random walk leading to anomalous diffusion
- Exact Hurst exponent and crossover behavior in a limit order market model
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