Scaling and universality in economics: empirical results and theoretical interpretation
From MaRDI portal
Publication:4646510
DOI10.1080/713666001zbMath1405.91723MaRDI QIDQ4646510
H. Eugene Stanley, Vasiliki Plerou
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/713666001
91G70: Statistical methods; risk measures
91G80: Financial applications of other theories
28A80: Fractals
Related Items
Option pricing and portfolio hedging under the mixed hedging strategy, Arbitrage with fractional Gaussian processes, Dynamical analogy between economical crisis and earthquake dynamics within the nonextensive statistical mechanics framework, Risk preference, option pricing and portfolio hedging with proportional transaction costs, Statistical physics and economic fluctuations: do outliers exist?, Scaling, self-similarity and multifractality in FX markets, Scaling behaviors in differently developed markets, Combination of transition probability distribution and stable Lorentz distribution in stock markets, Fluctuation behavior analysis of stochastic exclusion financial dynamics with random jump, Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model, Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics, Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model, Option pricing under residual risk and imperfect hedging, Option pricing with non-Gaussian scaling and infinite-state switching volatility