Power laws in economics and finance: some ideas from physics
From MaRDI portal
Publication:4646468
DOI10.1080/713665538zbMath1405.91710arXivcond-mat/0008103OpenAlexW2146986584MaRDI QIDQ4646468
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0008103
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (17)
Long memory behavior of returns after intraday financial jumps ⋮ A trade-investment model for distribution of wealth ⋮ Crises and collective socio-economic phenomena: simple models and challenges ⋮ Optimal choice of sample fraction in univariate financial tail index estimation ⋮ Phenomenology of the term structure of interest rates with Padé approximants ⋮ Microscopic models for long ranged volatility correlations ⋮ Price fluctuations and market activity ⋮ Agent-based simulation of a financial market ⋮ Business size distributions ⋮ Quantifying economic fluctuations ⋮ Parameter estimation for non-stationary reflected Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable noises ⋮ Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models ⋮ Agent-based modelling in directional-change intrinsic time ⋮ Volatility in financial markets: Stochastic models and empirical results ⋮ Statistical physics and economic fluctuations: do outliers exist? ⋮ Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential ⋮ Nonparametric estimation of periodic signal disturbed by α-stable noises
This page was built for publication: Power laws in economics and finance: some ideas from physics
