Dynamic instability in a phenomenological model of correlated assets

DOI10.1088/1742-5468/2006/08/L08001zbMath1459.91115arXivphysics/0508159MaRDI QIDQ5239296

Giacomo Raffaelli, Matteo Marsili

Publication date: 22 October 2019

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0508159

zbMATH Keywords

models of financial marketscritical phenomena of socio-economic systems

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

Related Items (5)

Excess covariance and dynamic instability in a multi-asset model ⋮ Consensus towards partially cooperative strategies in self-regulated evolutionary games on networks ⋮ Crises and collective socio-economic phenomena: simple models and challenges ⋮ On the non-stationarity of financial time series: impact on optimal portfolio selection ⋮ Exploring the dynamics of financial markets: from stock prices to strategy returns

Cites Work

• Alternation of different fluctuation regimes in the stock market dynamics
• Theory of Financial Risk and Derivative Pricing
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• High-frequency cross-correlation in a set of stocks
• Dissecting financial markets: sectors and states
• Introduction to Econophysics
• Towards identifying the world stock market cross-correlations: DAX versus Dow Jones

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