Statistical physics and economic fluctuations: do outliers exist?
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- scientific article; zbMATH DE number 1429857 (Why is no real title available?)
- Introduction to Econophysics
- Multifractal detrended fluctuation analysis of nonstationary time series
- Patterns of Speculation
- Power laws in economics and finance: some ideas from physics
- Price fluctuations and market activity
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- Scaling and universality in economics: empirical results and theoretical interpretation
- Scaling the volatility of GDP growth rates
- Statistical Theory of the Energy Levels of Complex Systems. V
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
- Stochastic volatility as a simple generator of apparent financial power laws and long memory
- The variance of firm growth rates: The `scaling' puzzle
- Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions
- Truncated Lévy process with scale-invariant behavior
- Two phase behaviour and the distribution of volume
- Understanding the cubic and half-cubic laws of financial fluctuations
- Zipf plots and the size distribution of firms
Cited in
(12)- Dynamical analogy between economical crisis and earthquake dynamics within the nonextensive statistical mechanics framework
- Codifference as a practical tool to measure interdependence
- Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes
- Economic fluctuations and statistical physics: the puzzle of large fluctuations
- Asymmetric Lévy flights in nonhomogeneous environments
- Statistical properties of demand fluctuation in the financial market
- scientific article; zbMATH DE number 5183534 (Why is no real title available?)
- scientific article; zbMATH DE number 2067986 (Why is no real title available?)
- Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
- The seismography of crashes in financial markets
- Examining the dynamics of the Turkish manufacturing industry: a hidden Markov model approach
- Radially geometric stable distributions and processes
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