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)
- Scaling behaviors in differently developed markets
- SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS
- Option pricing beyond Black-Scholes based on double-fractional diffusion
- Dynamics of Markets
- Application of Bohmian mechanics to dynamics of prices of shares: Stochastic model of Bohm-Vigier from properties of price trajectories
- Stability in distribution of a stochastic hybrid competitive Lotka-Volterra model with Lévy jumps
- Support vector machine as an efficient framework for stock market volatility forecasting
- Codifference as a practical tool to measure interdependence
- Pricing currency options in the mixed fractional Brownian motion
- A generalized Cauchy process having cubic nonlinearity
- Finite-size effect and the components of multifractality in financial volatility
- LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
- Modeling record-breaking stock prices
- On multivariate network analysis of statistical data sets with different measures of association
- The beneficial role of random strategies in social and financial systems
- Market heterogeneities and the causal structure of volatility
- Systemic risk and causality dynamics of the world international shipping market
- Free random Lévy variables and financial probabilities
- Micro to macro models for income distribution in the absence and in the presence of tax evasion
- Complex networks: structure and dynamics
- On non-Gaussianity and dependence in financial time series: a nonextensive approach
- Black-Scholes formula in subdiffusive regime
- Accounting for risk of non linear portfolios. A novel Fourier approach
- Statistical analysis of financial networks
- Conditional Monte Carlo method for dynamic systems with random properties
- Modelling taxation and redistribution: a discrete active particle kinetic approach
- Quantum finance
- Empirical analysis and agent-based modeling of the Lithuanian parliamentary elections
- Scale-free memory model for multiagent reinforcement learning. Mean field approximation and rock-paper-scissors dynamics
- How natural is the recent centennial warming? An analysis of 2249 surface temperature records
- Introduction to econophysics. Correlations and complexity in finance.
- Introduction to complex and econophysics systems: a navigation map
- Waiting-times and returns in high-frequency financial data: An empirical study
- Limit order books
- Statistical procedures for the market graph construction
- Jump diffusion models and the evolution of financial prices
- Volatility is rough
- Dynamic instability in a phenomenological model of correlated assets
- The impact of a financial transaction tax on stylized facts of price returns -- evidence from the lab
- Robustness of sign correlation in market network analysis
- Statistical physics and economics. Concepts, tools, and applications.
- FRACTIONAL MARKET MODEL AND ITS VERIFICATION ON THE WARSAW STOCK EXCHANGE
- Mining market data: a network approach
- Financial market dynamics
- Rigorous proof of the Boltzmann-Gibbs distribution of money on connected graphs
- The mathematization of the individual sciences -- revisited
- Flights towards defection in economic transactions
- Cluster analysis for portfolio optimization
- Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
- Applications of Hilbert–Huang transform to non‐stationary financial time series analysis
- Model identification of a network as compressing sensing
- Simple measure of similarity for the market graph construction
- A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES
- Multifractal diffusion entropy analysis: optimal bin width of probability histograms
- Analysis of natural and artificial phenomena using signal processing and fractional calculus
- Clustering and portfolio selection problems: a unified framework
- Complex systems in finance and econometrics. Selected entries from the Encyclopedia of Complexity and Systems Science. 2-vol. set
- Mathematical methods for modelling price fluctuations of financial times series
- Exact solutions of nonlinear Fokker-Planck equations of the Desai-Zwanzig type
- Nanonetworks: the graph theory framework for modeling nanoscale systems
- Fractality of profit landscapes and validation of time series models for stock prices
- Application of \(p\)-adic analysis methods in describing Markov processes on ultrametric spaces isometrically embedded into \(\mathbb{Q}_p\)
- Modeling of financial processes with a space-time fractional diffusion equation of varying order
- Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market
- GPU accelerated Monte Carlo simulation of the 2D and 3D Ising model
- Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
- Multifractal detrended fluctuation analysis of nonstationary time series
- Lévy stable noise-induced transitions: stochastic resonance, resonant activation and dynamic hysteresis
- Complexity in quantitative finance and economics
- Dynamic bifurcations on financial markets
- Measuring multiscaling in financial time-series
- Measures of uncertainty in market network analysis
- Finitary probability methods in econophysics.
- Degree stability of a minimum spanning tree of price return and volatility
- Statistical equilibrium wealth distributions in an exchange economy with stochastic preferences.
- Role of noise in a market model with stochastic volatility
- The ``invisible hand of economic markets can be visualized through the synergy created by division of labor
- On \(1/f\) noise
- Analyzing and modeling 1+1d markets
- Price fluctuations and market activity
- Lévy, Ornstein-Uhlenbeck, and subordination: spectral vs. jump description
- A generalized Fourier transform approach to risk measures
- A simple mean field model for social interactions: dynamics, fluctuations, criticality
- Bridging stylized facts in finance and data non-stationarities
- Switching phenomena in a system with no switches
- ECONOPHYSICS AND ECONOMIC COMPLEXITY
- Multi-scale correlations in different futures markets
- 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
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