Statistical signatures in times of panic: markets as a self-organizing system

DOI10.1080/14697688.2011.653388zbMath1279.91198arXiv0908.0111OpenAlexW2032143100MaRDI QIDQ2873556

Lisa Borland

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.0111

zbMATH Keywords

correlationcritical phenomenastatistical physicsmarket dynamicsmarket anomalies

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (3)

Multivariate bubbles and antibubbles ⋮ Exploring the dynamics of financial markets: from stock prices to strategy returns ⋮ Probabilistic model of \(N\) correlated binary random variables and non-extensive statistical mechanics

Cites Work

• The Pricing of Options and Corporate Liabilities
• Self-organizing Ising model of financial markets
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Stochastic Volatility for Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stylized facts of financial markets and market crashes in Minority Games

This page was built for publication: Statistical signatures in times of panic: markets as a self-organizing system