Fluctuations of stock price model by statistical physics systems

DOI10.1016/j.mcm.2009.12.003zbMath1190.91117MaRDI QIDQ984186

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 value; Gibbs measure; random continuum percolation; statistical physics model; stock price process

Mathematics Subject Classification ID

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

Related Items

Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems, Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system, Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system, Nonlinear scaling analysis approach of agent-based Potts financial dynamical model, Effect of boundary conditions on stochastic Ising-like financial market price model, Forecasting crude oil price and stock price by jump stochastic time effective neural network model, Volatility degree forecasting of stock market by stochastic time strength neural network, Analysis of two-layered random interfaces for two dimensional Widom-Rowlinson's model, Linking market interaction intensity of 3D Ising type financial model with market volatility, Nonlinear fluctuation behavior of financial time series model by statistical physics system, Nonlinear behaviors of tail dependence and cross-correlation of financial time series model, Modeling and complexity of stochastic interacting Lévy type financial price dynamics, Phase and multifractality analyses of random price time series by finite-range interacting biased voter system, Nonlinear analysis of return time series model by oriented percolation dynamic system, Complex system analysis of market return percolation model on Sierpinski carpet lattice fractal, A continuum percolation model for stock price fluctuation as a Lévy process, Nonlinear Analysis on Cross-Correlation of Financial Time Series by Continuum Percolation System

Cites Work

• The Pricing of Options and Corporate Liabilities
• Threshold bipower variation and the impact of jumps on volatility forecasting
• The statistical properties of the interfaces for the lattice Widom--Rowlinson model
• MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item