Stochastic resonance as a model for financial market crashes and bubbles
From MaRDI portal
Publication:1852545
DOI10.1016/S0378-4371(02)01375-4zbMATH Open1005.91053OpenAlexW2096574840MaRDI QIDQ1852545FDOQ1852545
Authors: A. Krawiecki, Janusz A. Hołyst 
Publication date: 6 January 2003
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01375-4
Recommendations
- Stochastic resonance in an interacting-agent model of stock market.
- Bubbles and crashes: gradient dynamics in financial markets
- Turbulence in financial markets: the surprising explanatory power of simple cascade models
- Criticality and punctuated equilibrium in a spin system model of a financial market
- Coherence resonance-like and efficiency of financial market
- Crashing of efficient stochastic bubbles
- Self-organization and the persistence of noise in financial markets
- Stylized facts of financial markets and market crashes in Minority Games
Applications of statistics to economics (62P20) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic models in economics (91B70)
Cites Work
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- Quantitative sociodynamics. Stochastic methods and models of social interaction processes. Transl. from the German by Richard Calek and Dirk Helbing
- Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness
- Stochastic resonance in an interacting-agent model of stock market.
- Agent-based simulation of a financial market
- Statistical physics in foreign exchange currency and stock markets
- Physics and social science -- the approach of synergetics
- A model of international financial crises
- Stochastic resonance in the Weidlich model of public opinion formation
- Title not available (Why is that?)
- Phase transitions in social impact models of opinion formation
- Discrete scale invariance in stock markets before crashes
- AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
Cited In (11)
- A model for prejudiced learning in noisy environments
- Multiple stochastic and inverse stochastic resonances with transition phenomena in complex corporate financial systems
- Bifurcation and chaotic behavior of credit risk contagion based on FitzHugh-Nagumo system
- Noise and periodic signal induced stochastic resonance in a Langevin equation with random mass and frequency
- The roles of extrinsic periodic information on the stability of stock price
- Coherence and stochastic resonance in the fractional-birhythmic self-sustained system subjected to fractional time-delay feedback and Lévy noise
- Stochastic resonance in an interacting-agent model of stock market.
- Noise-Induced Resonance in Bistable Systems Caused by Delay Feedback
- Real space renormalization group study of the two-dimensional super-antiferromagnetic Ising model
- MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS
- Bubbles and crashes: gradient dynamics in financial markets
This page was built for publication: Stochastic resonance as a model for financial market crashes and bubbles
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1852545)
