Bubbles, shocks and elementary technical trading strategies

DOI10.1140/EPJB/E2013-40587-YMaRDI QIDQ6176847zbMATH OpenOpenAlexFDO

Authors John L. Fry

Publication date 26 July 2023

Published in The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/47052/1/MPRA_paper_47052.pdf

zbMATH Keywords

statistical and nonlinear physics

Mathematics Subject Classification ID

Dynamic and nonequilibrium phase transitions (general) in statistical mechanics (82C26) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)

Recommendations

• A simple mechanism for financial bubbles: time-varying momentum horizon
• Multivariate bubbles and antibubbles
• From rational bubbles to crashes
• CRASHES AS CRITICAL POINTS
• Bubbles and crashes: gradient dynamics in financial markets

Cites work

• A Bayesian analysis of log-periodic precursors to financial crashes
• A NONLINEAR SUPER-EXPONENTIAL RATIONAL MODEL OF SPECULATIVE FINANCIAL BUBBLES
• A statistical analysis of log-periodic precursors to financial crashes
• CRASHES AS CRITICAL POINTS
• Detecting log-periodicity in a regime-switching model of stock returns
• Endogenous versus exogenous shocks in systems with memory
• Financial Modelling with Jump Processes
• Generation-by-generation dissection of the response function in long memory epidemic processes
• scientific article; zbMATH DE number 46578 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• Intelligent finance—an emerging direction
• Log-periodic self-similarity: an emerging financial law?
• More on a statistical analysis of log-periodic precursors to financial crashes
• Option pricing when underlying stock returns are discontinuous
• Prediction accuracy and sloppiness of log-periodic functions
• Theory of Financial Risk and Derivative Pricing
• Why do risk premia vary over time? a theoretical investigation under habit formation

Cited in

(5)

• Coherent transport over an explosive percolation lattice
• Perturbative calculation of quasi-potential in non-equilibrium diffusions: a mean-field example
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Bubble detection and sector trading in real time
• Multivariate bubbles and antibubbles

This page was built for publication: Bubbles, shocks and elementary technical trading strategies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6176847)