Introduction to Econophysics

DOI10.1017/CBO9780511755767zbMATH Open1138.91300OpenAlexW2611011638MaRDI QIDQ5426331FDOQ5426331

Rosario Nunzio Mantegna, H. Eugene Stanley

Publication date: 12 November 2007

Full work available at URL: https://doi.org/10.1017/cbo9780511755767

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 (only showing first 100 items - show all)

The probability distribution of returns in the exponential Ornstein–Uhlenbeck model
Demagnetization via nucleation of the nonequilibrium metastable phase in a model of disorder
Levels of complexity in financial markets
Free random variables and molecular spectra
A stochastic model of river discharge fluctuations
The mechanism of double-exponential growth in hyper-inflation
Learning the optimal trading strategy
Power law distribution of the duration and magnitude of recessions in capitalist economies: Breakdown of scaling
Non-universal scaling and dynamical feedback in generalized models of financial markets
Infinite products of large random matrices and matrix-valued diffusion
Scaling, correlations, and cascades in finance and turbulence
Triangular arbitrage and negative auto-correlation of foreign exchange rates
Jamming and correlation patterns in traffic of information on sparse modular networks
Minimal agent based model for financial markets. II
On the probability distribution of stock returns in the Mike-Farmer model
Topological properties of commodities networks
Sudden onset of log-periodicity and superdiffusion in non-Markovian random walks with amnestically induced persistence: exact results
The role of a matchmaker in buyer-vendor interactions
A new estimator method for GARCH models
Correlation and volatility in an Indian stock market: A random matrix approach
From short to fat tails in financial markets: a unified description
Network topology of an experimental futures exchange
Fear and its implications for stock markets
Interacting gaps model, dynamics of order book, and stock-market fluctuations
Roughness and finite size effect in the NYSE stock-price fluctuations
Volatility return intervals analysis of the Japanese market
Stylized facts from a threshold-based heterogeneous agent model
Statistical regularities in the return intervals of volatility
The index cohesive effect on stock market correlations
The futility of utility: how market dynamics marginalize Adam Smith
Derivative pricing with non-linear Fokker-Planck dynamics
The Blackwell and Dubins theorem and Rényi's amount of information measure: Some applications
Exact propagator of the Fokker-Planck equation with logarithmic factors in diffusion and drift terms
Emergent quantum mechanics of finances
Decomposing the stock market intraday dynamics
Exponentially damped Lévy flights
Speculative behavior and the dynamics of interacting stock markets
The circulation of money and holding time distribution
Economic fluctuations and statistical physics: the puzzle of large fluctuations
On financial markets trading
Modeling and simulation of financial returns under non-Gaussian distributions
Exact Hurst exponent and crossover behavior in a limit order market model
Analysis of high-resolution foreign exchange data of USD-JPY for 13 years
Limit order market analysis and modelling: on a universal cause for over-diffusive prices
Fluctuations in interacting particle systems with memory
Modeling of the financial market using the two-dimensional anisotropic Ising model
Option pricing under residual risk and imperfect hedging
Mesoscopic modelling of financial markets
Statistical theory of the continuous double auction
Discreteness induced extinction
A model for stocks dynamics based on a non-Gaussian path integral
Amnestically Induced Persistence in Random Walks
CROSS-COUNTRY HIERARCHICAL STRUCTURE AND CURRENCY CRISES
VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
COMPLEX DYNAMICS IN A SIMPLE STOCK MARKET MODEL
The St. Petersburg paradox: an experimental solution
Safe marginal time of crude oil price via escape problem of econophysics
Multiagent model and mean field theory of complex auction dynamics
Using empirical data to estimate potential functions in commodity markets: some initial results
Enumerating Isolated Cliques in Synthetic and Financial Networks
Fat tails and volatility clustering in experimental asset markets
Quantum model for the price dynamics: The problem of smoothness of trajectories
A model for the dynamic behavior of financial assets affected by news: the case of Tohoku-Kanto earthquake
Basic kinetic wealth-exchange models: common features and open problems
Higher-order analysis within Weierstrass hierarchical walks
Monte Carlo simulations of a trader-based market model
DYNAMICAL CLUSTERING AS A GENERATOR OF COMPLEX SYSTEM DYNAMICS
Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach
Quantifying the dynamics of financial correlations
Isolation concepts for clique enumeration: comparison and computational experiments
Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
Quantifying and understanding the economics of large financial movements
Stock market crashes as social phase transitions
Investments in random environments
Exact solutions of the Fokker-Planck equations with moving boundaries
The seismography of crashes in financial markets
Quantum probability and financial market
First results on applying a non-linear effect formalism to alliances between political parties and buy and sell dynamics
Stochastic simulations of time series within Weierstrass–Mandelbrot walks
Quantifying economic fluctuations
Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models
Statistical physics in foreign exchange currency and stock markets
Topological data analysis of financial time series: landscapes of crashes
Evolution and anti-evolution in a minimal stock market model
Detecting chaos and predicting in Dow Jones Index
Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
Boltzmann-Gibbs distribution of fortune and broken time reversible symmetry in econodynamics
Ornstein-Uhlenbeck processes for geophysical data analysis
Mean reversion in the US stock market
On the origins of truncated Lévy flights
Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
Multiple commodities in statistical microeconomics: model and market
The origin of fat-tailed distributions in financial time series
Dynamics of cross-correlations in the stock market
Multivariate Markov chain modeling for stock markets
Dynamical model of financial markets: fluctuating `temperature' causes intermittent behavior of price changes
From Brownian motion to operational risk: statistical physics and financial markets
Statistical physics and economic fluctuations: do outliers exist?
Wavelet methods in (financial) time-series processing
Reconstructing an economic space from a market metric

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