Quantifying and understanding the economics of large financial movements
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Cites work
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 194418 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A simple general approach to inference about the tail of a distribution
- A theory of persistent income inequality.
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Critical phenomena in natural sciences. Chaos, fractals, selforganization and disorder: concepts and tools
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Gaussian semiparametric estimation of long range dependence
- How can statistical mechanics contribute to social science?
- Institutional Investors and Stock Market Volatility
- Introduction to Econophysics
- Liquidity and Financial Market Runs
- Long memory relationships and the aggregation of dynamic models
- Nonergodic Economic Growth
- ON A CLASS OF SKEW DISTRIBUTION FUNCTIONS
- On the origin of power-law fluctuations in stock prices
- On the origin of power-law tails in price fluctuations
- Portfolio Analysis in a Stable Paretian Market
- Price fluctuations and market activity
- Price fluctuations from the order book perspective - empirical facts and a simple model
- Semiparametric analysis of long-memory time series
- Statistical methods in finance
- The Distribution of Realized Exchange Rate Volatility
- The Price Variability-Volume Relationship on Speculative Markets
- The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
- The statistical mechanics of strategic interaction
- Theory of Financial Risk and Derivative Pricing
- Time variation of second moments from a noise trader/infection model
- Varieties of long memory models
- Zipf plots and the size distribution of firms
- Zipf's Law for Cities: An Explanation
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- Quantifying economic fluctuations
- Statistical physics and economic fluctuations: do outliers exist?
- Financial power laws: empirical evidence, models, and mechanisms
- Switching processes in financial markets
- Understanding the cubic and half-cubic laws of financial fluctuations
- On the origin of power-law fluctuations in stock prices
- Trade clustering and power laws in financial markets
- Trading volume in financial markets: an introductory review
- Complex dynamics of our economic life on different scales: insights from search engine query data
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