Introduction to econophysics. Correlations and complexity in finance.
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Publication:5309792
zbMATH Open1134.91001MaRDI QIDQ5309792FDOQ5309792
Authors: Rosario Nunzio Mantegna, H. Eugene Stanley 
Publication date: 2 October 2007
Recommendations
econophysicsfinancial time seriesstochastic dynamicsstatistical physicsatmospheric physicsfinancial systems
Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80) Equilibrium statistical mechanics (82B99)
Cited In (53)
- A systems perspective on financial systems
- Harmonic statistics
- Boltzmann-type models for price formation in the presence of behavioral aspects
- The detection of local irreversibility in time series based on segmentation
- Optimization of mixture models on time series networks encoded by visibility graphs: an analysis of the US electricity market
- The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach
- Pseudo-exponential distribution and its statistical applications in econophysics
- New methods of simulating Lévy processes
- A geometric theory for Lévy distributions
- From entropy-maximization to equality-maximization: Gauss, Laplace, Pareto, and Subbotin
- Application of quantum master equation for long-term prognosis of asset-prices
- Stochastic Lotka-Volterra equations: a model of lagged diffusion of technology in an interconnected world
- Inequality spectra
- Heterogeneous round-trip trading and the emergence of volatility clustering in speculation game
- From tick data to semimartingales
- An efficient series approximation for the Lévy \(\alpha\)-stable symmetric distribution
- Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations
- Statistical properties in firms' large-scale data
- Introduction to complex and econophysics systems: a navigation map
- Economic system dynamics
- A stochastic \(p\)-adic model of the capillary flow in porous random medium
- Investigation of non-Gaussian effects in the Brazilian option market
- The quantum dark side of the optimal control theory
- Fractional motions
- Interplay between polarisation and plurality in a decision-making process with continuous opinions
- Complex market dynamics in the light of random matrix theory
- Statistical physics and economics. Concepts, tools, and applications.
- ECONOPHYSICS: WHAT CAN PHYSICISTS CONTRIBUTE TO ECONOMICS?
- On the physical interpretation of statistical data from black-box systems
- Breaks down of the modeling of the financial market with addition of non-linear terms in the Itô stochastic process
- Dynamical analogy between economical crisis and earthquake dynamics within the nonextensive statistical mechanics framework
- Econophysics and data driven modelling of market dynamics. Proceedings of the 8th conference, Kolkata, India, March 14--17, 2014
- On the interplay between multiscaling and stock dependence
- Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis
- Econophysics for philosophers
- Complex systems in finance and econometrics. Selected entries from the Encyclopedia of Complexity and Systems Science. 2-vol. set
- An introduction to econophysics and quantitative finance
- Stochastic process with multiplicative structure for the dynamic behavior of the financial market
- Optimal learning dynamics of multiagent system in restless multiarmed bandit game
- Physics and finance
- New perspectives and challenges in econophysics and sociophysics
- Complexity in quantitative finance and economics
- Finitary probability methods in econophysics.
- Macroeconomic and financial networks: review of some recent developments in parametric and non-parametric approaches
- Introduction to Econophysics
- Anomalous is ubiquitous
- Stochastic flow cascades
- Harnessing inequality
- First passage time statistics for two-channel diffusion
- Exact solution to two-body financial dealer model: revisited from the viewpoint of kinetic theory
- Nonlinear complexity and chaotic behaviors on finite-range stochastic epidemic financial dynamics
- Pricing currency option in a mixed fractional Brownian motion with jumps environment
- How random is a random vector?
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