Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes
From MaRDI portal
Publication:1409101
DOI10.1016/S0378-4371(03)00592-2zbMath1056.91022arXivcond-mat/0210090MaRDI QIDQ1409101
Naoki Kozuki, Nobuko Fuchikami
Publication date: 5 October 2003
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0210090
Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26) Foundations of time-dependent statistical mechanics (82C03)
Related Items (5)
Why \(q\)-expectation values must be used in nonextensive statistical mechanics ⋮ Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics ⋮ Optimal investment problem under non-extensive statistical mechanics ⋮ From short to fat tails in financial markets: a unified description ⋮ A statistical description for the quasi-stationary-states of the dipole-type Hamiltonian mean field model based on a family of Vlasov solutions
Cites Work
- Unnamed Item
- The Fokker-Planck equation. Methods of solution and applications.
- Possible generalization of Boltzmann-Gibbs statistics.
- Econometric modelling of stock market intraday activity.
- Velocity probability density functions of high Reynolds number turbulence
- A STOCHASTIC CASCADE MODEL FOR FX DYNAMICS
- Introduction to Econophysics
- Scaling exponents in fully developed turbulence from nonextensive statistical mechanics
- Evidence of Markov properties of high frequency exchange rate data
This page was built for publication: Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes
