STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
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Publication:4911481
DOI10.1142/S0129183112500234zbMath1263.82023OpenAlexW2009885972MaRDI QIDQ4911481
Publication date: 15 March 2013
Published in: International Journal of Modern Physics C (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0129183112500234
time serieslong memorystochastic Ising modelmean field theorymultifractal detrended fluctuation analysis
Microeconomic theory (price theory and economic markets) (91B24) Statistical thermodynamics (82B30) Heterogeneous agent models (91B69)
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Cites Work
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- Multifractal detrended fluctuation analysis of nonstationary time series
- Multiscale behaviour of volatility autocorrelations in a financial market
- Long-Term Memory in Stock Market Prices
- SUPERCRITICAL ISING MODEL ON THE LATTICE FRACTAL — THE SIERPINSKI CARPET
- Price fluctuations and market activity
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