Introduction to Econophysics
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Publication:5426331
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)
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(only showing first 100 items - show all)- Exact Hurst exponent and crossover behavior in a limit order market model
- A summary: quantifying the complexity of financial markets using composite and multivariate multiscale entropy
- Statistical theory of the continuous double auction
- Modeling and simulation of financial returns under non-Gaussian distributions
- Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach
- Learning the optimal trading strategy
- Power law distribution of the duration and magnitude of recessions in capitalist economies: Breakdown of scaling
- Fluctuations in interacting particle systems with memory
- Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system
- On financial markets trading
- A stochastic model of river discharge fluctuations
- COMPLEX DYNAMICS IN A SIMPLE STOCK MARKET MODEL
- Non-universal scaling and dynamical feedback in generalized models of financial markets
- 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
- Emergent quantum mechanics of finances
- Exponentially damped Lévy flights
- CROSS-COUNTRY HIERARCHICAL STRUCTURE AND CURRENCY CRISES
- Modeling of the financial market using the two-dimensional anisotropic Ising model
- The St. Petersburg paradox: an experimental solution
- Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation
- 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
- Discreteness induced extinction
- The Blackwell and Dubins theorem and Rényi's amount of information measure: Some applications
- The probability distribution of returns in the exponential Ornstein-Uhlenbeck model
- Amnestically induced persistence in random walks
- Speculative behavior and the dynamics of interacting stock markets
- The futility of utility: how market dynamics marginalize Adam Smith
- VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
- The mechanism of double-exponential growth in hyper-inflation
- Mesoscopic modelling of financial markets
- Free random variables and molecular spectra
- Modeling stock market dynamics based on conservation principles
- Demagnetization via nucleation of the nonequilibrium metastable phase in a model of disorder
- 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
- Local regression type methods applied to the study of geophysics and high frequency financial data
- The circulation of money and holding time distribution
- Safe marginal time of crude oil price via escape problem of econophysics
- Derivative pricing with non-linear Fokker-Planck dynamics
- A model for stocks dynamics based on a non-Gaussian path integral
- Economic fluctuations and statistical physics: the puzzle of large fluctuations
- Switching phenomena in a system with no switches
- Bridging stylized facts in finance and data non-stationarities
- GPU accelerated Monte Carlo simulation of the 2D and 3D Ising model
- Lévy, Ornstein-Uhlenbeck, and subordination: spectral vs. jump description
- Statistical equilibrium wealth distributions in an exchange economy with stochastic preferences.
- Support vector machine as an efficient framework for stock market volatility forecasting
- Empirical analysis and agent-based modeling of the Lithuanian parliamentary elections
- Rigorous proof of the Boltzmann-Gibbs distribution of money on connected graphs
- Statistical analysis of financial networks
- Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
- The mathematization of the individual sciences -- revisited
- Robustness of sign correlation in market network analysis
- ECONOPHYSICS AND ECONOMIC COMPLEXITY
- On multivariate network analysis of statistical data sets with different measures of association
- Multi-scale correlations in different futures markets
- Role of noise in a market model with stochastic volatility
- Codifference as a practical tool to measure interdependence
- The ``invisible hand of economic markets can be visualized through the synergy created by division of labor
- Black-Scholes formula in subdiffusive regime
- Volatility is rough
- Conditional Monte Carlo method for dynamic systems with random properties
- Flights towards defection in economic transactions
- Micro to macro models for income distribution in the absence and in the presence of tax evasion
- Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
- Multifractal detrended fluctuation analysis of nonstationary time series
- On non-Gaussianity and dependence in financial time series: a nonextensive approach
- Nanonetworks: the graph theory framework for modeling nanoscale systems
- Pricing currency options in the mixed fractional Brownian motion
- Complex systems in finance and econometrics. Selected entries from the Encyclopedia of Complexity and Systems Science. 2-vol. set
- Waiting-times and returns in high-frequency financial data: An empirical study
- Clustering and portfolio selection problems: a unified framework
- Introduction to complex and econophysics systems: a navigation map
- Limit order books
- Multifractal diffusion entropy analysis: optimal bin width of probability histograms
- Measures of uncertainty in market network analysis
- The beneficial role of random strategies in social and financial systems
- A generalized Cauchy process having cubic nonlinearity
- Finitary probability methods in econophysics.
- Modelling taxation and redistribution: a discrete active particle kinetic approach
- Scale-free memory model for multiagent reinforcement learning. Mean field approximation and rock-paper-scissors dynamics
- Market heterogeneities and the causal structure of volatility
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