Fluctuations of stock price model by statistical physics systems

DOI10.1016/J.MCM.2009.12.003MaRDI QIDQ984186zbMATH OpenOpenAlexFDO

Authors Jun Wang, Qiuyuan Wang, Jiguang Shao

Publication date 16 July 2010

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2009.12.003

zbMATH Keywords

critical valueGibbs measurerandom continuum percolationstatistical physics modelstock price process

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

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• MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS
• The pricing of options and corporate liabilities
• The statistical properties of the interfaces for the lattice Widom--Rowlinson model
• Threshold bipower variation and the impact of jumps on volatility forecasting

Cited in

(28)

• Nonlinear behaviors of tail dependence and cross-correlation of financial time series model
• Application of Bohmian mechanics to dynamics of prices of shares: Stochastic model of Bohm-Vigier from properties of price trajectories
• Forecasting crude oil price and stock price by jump stochastic time effective neural network model
• Complex system analysis of market return percolation model on Sierpinski carpet lattice fractal
• Linking market interaction intensity of 3D Ising type financial model with market volatility
• Stock exchange: a statistical model
• Nonlinear analysis of return time series model by oriented percolation dynamic system
• Modeling and complexity of stochastic interacting Lévy type financial price dynamics
• Nonlinear fluctuation behavior of financial time series model by statistical physics system
• A continuum percolation model for stock price fluctuation as a Lévy process
• Nonlinear scaling analysis approach of agent-based Potts financial dynamical model
• Statistical analysis by statistical physics model for the stock markets
• Phase and multifractality analyses of random price time series by finite-range interacting biased voter system
• Nonlinear analysis on cross-correlation of financial time series by continuum percolation system
• AVALANCHE DYNAMICS OF THE FINANCIAL MARKET
• Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system
• scientific article; zbMATH DE number 515790 (Why is no real title available?)
• Volatility degree forecasting of stock market by stochastic time strength neural network
• Lattice-oriented percolation system applied to volatility behavior of stock market
• Voter interacting systems applied to Chinese stock markets
• A study of stock price process by continuum percolation theory
• Ordered phase and non-equilibrium fluctuation in stock market
• Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system
• Effect of boundary conditions on stochastic Ising-like financial market price model
• Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems
• Analysis of two-layered random interfaces for two dimensional Widom-Rowlinson's model
• Finite-range contact process on the market return intervals distributions
• Fluctuations of interface statistical physics models applied to a stock market model

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