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)- Bridging stylized facts in finance and data non-stationarities
- Fisher information and equilibrium distributions in econophysics
- Escape from bounded domains driven by multivariate \(\alpha \)-stable noises
- From Mean and Median Income to the Most Adequate Way of Taking Inequality into Account
- Concentration effects in a kinetic model with wealth and knowledge exchanges
- Scaling behaviors in differently developed markets
- Minimal agent based model for financial markets. I
- Toy models and stylized realities
- Option pricing beyond Black-Scholes based on double-fractional diffusion
- The convergence of European business cycles 1978-2000
- A herding model with preferential attachment and fragmentation
- The stability of the multivariate geometric Brownian motion as a bilinear matrix inequality problem
- SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS
- Mathematical models for socio-economic problems
- Using empirical data to estimate potential functions in commodity markets: some initial results
- Fluctuation entropy and complexity of financial percolation model with random jump on gasket fractal lattice
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- Power-Law Cross-Correlations: Issues, Solutions and Future Challenges
- Grand Canonical Minority Games with Variable Strategy Spaces
- Stability in distribution of a stochastic hybrid competitive Lotka-Volterra model with Lévy jumps
- Demagnetization via nucleation of the nonequilibrium metastable phase in a model of disorder
- Multiagent model and mean field theory of complex auction dynamics
- Application of Bohmian mechanics to dynamics of prices of shares: Stochastic model of Bohm-Vigier from properties of price trajectories
- Detecting log-periodicity in a regime-switching model of stock returns
- Dynamics of Markets
- Codifference as a practical tool to measure interdependence
- Analyzing crisis in global financial indices
- Support vector machine as an efficient framework for stock market volatility forecasting
- Enumerating Isolated Cliques in Synthetic and Financial Networks
- Models of asset returns: changes of pattern from high to low event frequency
- 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
- Free random variables and molecular spectra
- Non-constant rates and over-diffusive prices in a simple model of limit order markets
- Random magnets and correlations of stock price fluctuations
- Synchronization model for stock market asymmetry
- Fat tails and volatility clustering in experimental asset markets
- Coherence resonance-like and efficiency of financial market
- Increase in equilibrium price by fast oscillations
- A stochastic model of river discharge fluctuations
- A generalized Cauchy process having cubic nonlinearity
- 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
- Pricing currency options in the mixed fractional Brownian motion
- Levels of complexity in financial markets
- Economic Models with Chaotic Money Exchange
- 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
- Finite-size effect and the components of multifractality in financial volatility
- The origin of return correlation networks
- Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies
- Quantum Barro-Gordon game in monetary economics
- The mechanism of double-exponential growth in hyper-inflation
- Nonlinear friction in underdamped anharmonic stochastic oscillators
- On multivariate network analysis of statistical data sets with different measures of association
- Modeling record-breaking stock prices
- Forecasting the integration of immigrants
- Modeling share dynamics by extracting competition structure
- LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
- Inequality, a scourge of the XXI century
- Using the Lévy sections to reduce risks in the buying strategies and asset sales that value in time
- Effects of imitation in a competing and evolving population
- CONDENSATION IN AN ECONOMIC MODEL WITH BRAND COMPETITION
- TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
- DYNAMICAL CLUSTERING AS A GENERATOR OF COMPLEX SYSTEM DYNAMICS
- Infinite products of large random matrices and matrix-valued diffusion
- Scaling, correlations, and cascades in finance and turbulence
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
- Learning the optimal trading strategy
- Power law distribution of the duration and magnitude of recessions in capitalist economies: Breakdown of scaling
- Effects of randomness on power law tails in multiplicatively interacting stochastic processes
- Non-universal scaling and dynamical feedback in generalized models of financial markets
- Triangular arbitrage and negative auto-correlation of foreign exchange rates
- Isolation concepts for clique enumeration: comparison and computational experiments
- 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
- Gambler's ruin problem on Erdős-Rényi graphs
- 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
- Herding behaviour and volatility clustering in financial markets
- The beneficial role of random strategies in social and financial systems
- Quantifying and understanding the economics of large financial movements
- Stock market crashes as social phase transitions
- The futility of utility: how market dynamics marginalize Adam Smith
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