Introduction to Econophysics
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Publication:5426331
DOI10.1017/CBO9780511755767zbMATH Open1138.91300OpenAlexW2611011638MaRDI QIDQ5426331FDOQ5426331
Authors: Rosario Nunzio Mantegna, H. Eugene Stanley 
Publication date: 12 November 2007
Full work available at URL: https://doi.org/10.1017/cbo9780511755767
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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)
- Demagnetization via nucleation of the nonequilibrium metastable phase in a model of disorder
- 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
- Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach
- 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
- Emergent quantum mechanics of finances
- 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
- Amnestically induced persistence in random walks
- 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
- The probability distribution of returns in the exponential Ornstein-Uhlenbeck model
- Fluctuations in interacting particle systems with memory
- Modeling of the financial market using the two-dimensional anisotropic Ising model
- Mesoscopic modelling of financial markets
- Statistical theory of the continuous double auction
- Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system
- Discreteness induced extinction
- A model for stocks dynamics based on a non-Gaussian path integral
- CROSS-COUNTRY HIERARCHICAL STRUCTURE AND CURRENCY CRISES
- Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation
- VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
- COMPLEX DYNAMICS IN A SIMPLE STOCK MARKET MODEL
- Local regression type methods applied to the study of geophysics and high frequency financial data
- Modeling stock market dynamics based on conservation principles
- A summary: quantifying the complexity of financial markets using composite and multivariate multiscale entropy
- The St. Petersburg paradox: an experimental solution
- Safe marginal time of crude oil price via escape problem of econophysics
- A herding model with preferential attachment and fragmentation
- The convergence of European business cycles 1978-2000
- Detecting log-periodicity in a regime-switching model of stock returns
- Levels of complexity in financial markets
- A model for the size distribution of customer groups and businesses
- A path integral way to option pricing
- Self-organized percolation growth in regular and disordered lattices
- Random magnets and correlations of stock price fluctuations
- CONDENSATION IN AN ECONOMIC MODEL WITH BRAND COMPETITION
- Modeling share dynamics by extracting competition structure
- Inequality, a scourge of the XXI century
- Effects of imitation in a competing and evolving population
- Gambler's ruin problem on Erdős-Rényi graphs
- Option pricing and portfolio hedging under the mixed hedging strategy
- Alternative way to characterize a \(q\)-Gaussian distribution by a robust heavy tail measurement
- Roles of capital flow on the stability of a market system
- Anomalous volatility scaling in high frequency financial data
- Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
- Static and dynamical critical behavior of the monomer-monomer reaction model with desorption
- The relationship between carbon dioxide emission and economic growth: hierarchical structure methods
- Dynamic effects of memory in a cobweb model with competing technologies
- European option pricing under the Student's \(t\) noise with jumps
- Understanding the determinants of volatility clustering in terms of stationary Markovian processes
- The roles of mean residence time on herd behavior in a financial market
- Investigation on financial crises with the negative-information-propagation-induced model
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
- Econophysics: past and present
- Role of intensive and extensive variables in a soup of firms in economy to address long run prices and aggregate data
- Exact propagator of the Fokker-Planck equation with logarithmic factors in diffusion and drift terms
- Risk preference, option pricing and portfolio hedging with proportional transaction costs
- Decomposing the stock market intraday dynamics
- Analysis of a decision model in the context of equilibrium pricing and order book pricing
- A two-dimensional non-Markovian random walk leading to anomalous diffusion
- The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
- The returns and risks of investment portfolio in a financial market
- Arbitrage with fractional Gaussian processes
- Randomness and fractional stable distributions
- Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
- The risks and returns of stock investment in a financial market
- Option pricing under residual risk and imperfect hedging
- Feedback-controlled diffusion: from self-trapping to true self-avoiding walks
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