The Statistical Mechanics of Financial Markets

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistical mechanics (82-02) Equilibrium statistical mechanics (82B99)

Cited In (45)

Harmonic statistics
Boltzmann-type models for price formation in the presence of behavioral aspects
Optimization of mixture models on time series networks encoded by visibility graphs: an analysis of the US electricity market
Trend and fractality assessment of Mexico's stock exchange
Statistical mechanics of nonlinear nonequilibrium financial markets
Supersymmetry approach to Wishart correlation matrices: exact results
Quantifying and understanding the economics of large financial movements
From entropy-maximization to equality-maximization: Gauss, Laplace, Pareto, and Subbotin
Kinetic and mean field description of Gibrat's law
Investigation on financial crises with the negative-information-propagation-induced model
Insights into the macroscopic behavior of equity markets: theory and application
Statistical microeconomics
Random matrix models for datasets with fixed time horizons
Asymmetric information and quantization in financial economics
Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
Title not available (Why is that?)
Title not available (Why is that?)
Mesoscopic modelling of financial markets
The quantum dark side of the optimal control theory
Fisher information and quantum potential well model for finance
On the valuation of variance swaps with stochastic volatility
STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
Fractional motions
The unified hydrodynamics and the pseudorapidity distributions in heavy ion collisions at BNL-RHIC and CERN-LHC energies
Higher-order phase transitions on financial markets
Evolutionary model of stock markets
Superstatistics with cut-off tails for financial time series
Title not available (Why is that?)
Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
Testing stationarity of the detrended price return in stock markets
Pricing forward-start variance swaps with stochastic volatility
A novel analytical technique for the solution of time-fractional Ivancevic option pricing model
A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
A multi agent model for the limit order book dynamics
Metaheuristic optimization-based identification of fractional-order systems under stable distribution noises
On sufficient conditions for the strong consistency of least-squares estimates
Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis
Kinetic model for asset allocation with strategy switching
The evolution-dominated hydrodynamic model and the pseudorapidity distributions in high energy physics
ON THE STATISTICAL PHYSICS CONTRIBUTION TO QUANTITATIVE FINANCE
Fractional econophysics: market price dynamics with memory effects
Harnessing inequality
QuantNet: transferring learning across trading strategies
Self-organizing Ising model of financial markets
A method for identification of critical states of open stochastic dynamical systems based on the analysis of acceleration

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