Switching processes in financial markets

DOI10.1073/PNAS.1019484108MaRDI QIDQ4907460zbMATH OpenOpenAlexWikidataFDO

Authors Tobias Preis, Johannes Schneider, H. Eugene Stanley

Publication date 2 February 2013

Published in Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1073/pnas.1019484108

zbMATH Keywords

econometricsphase transitionscomplex systemsswitching phenomena

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

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Cites work

• Complex dynamics of our economic life on different scales: insights from search engine query data
• Institutional Investors and Stock Market Volatility
• More hedging instruments may destabilize markets
• Moving Average-Based Estimators of Integrated Variance
• Order-splitting and long-memory in an order-driven market
• Semiparametric diffusion estimation and application to a stock market index
• Switching phenomena in a system with no switches
• The structural role of weak and strong links in a financial market network
• Zipf plots and the size distribution of firms

Cited in

(12)

• Switching phenomena in a system with no switches
• Transitions in the stock markets of the US, UK and Germany
• Reaction to Extreme Events in a Minimal Agent Based Model
• Gross substitution in financial markets
• Empirical scaling laws and the aggregation of non-stationary data
• Aging transition under discrete time-dependent coupling: restoring rhythmicity from aging
• Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models
• Dynamic bifurcations on financial markets
• Empirical analysis of structural change in credit default swap volatility
• Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics
• Variable diffusion in stock market fluctuations
• Rapid detection of the switching point in a financial market structure using the particle filter

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