Gas-kinetic theory and Boltzmann equation of share price within an equilibrium market hypothesis and ad hoc strategy
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DOI: 10.1016/S0378-4371(00)00290-9
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Cited by:
- Marcel Ausloos & Herbert Dawid & Ugo Merlone, 2015.
"Spatial Interactions in Agent-Based Modeling,"
Dynamic Modeling and Econometrics in Economics and Finance, in: Pasquale Commendatore & Saime Kayam & Ingrid Kubin (ed.), Complexity and Geographical Economics, edition 127, pages 353-377,
Springer.
- Marcel Ausloos & Herbert Dawid & Ugo Merlone, 2014. "Spatial interactions in agent-based modeling," Papers 1405.0733, arXiv.org.
- Claudiu Vințe & Marcel Ausloos, 2023.
"Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy,"
JRFM, MDPI, vol. 16(2), pages 1-24, February.
- Claudiu Vinte & Marcel Ausloos, 2023. "Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy," Papers 2303.09330, arXiv.org.
- Ausloos, Marcel & Jovanovic, Franck & Schinckus, Christophe, 2016.
"On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis,"
International Review of Financial Analysis, Elsevier, vol. 47(C), pages 7-14.
- Marcel Ausloos & Franck Jovanovic & Christophe Schinckus, 2016. "On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis," Post-Print hal-03532890, HAL.
- Marcel Ausloos & Franck Jovanovic & Christophe Schinckus, 2016. "On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis," Papers 1606.02045, arXiv.org.
- Alberto Bicci, 2016. "Limit Order Book and its modelling in terms of Gibbs Grand-Canonical Ensemble," Papers 1602.06968, arXiv.org, revised Feb 2016.
- Marcel Ausloos, 2013. "Econophysics: Comments on a Few Applications, Successes, Methods and Models," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 101-115, July.
- Bicci, Alberto, 2016. "Limit order book and its modeling in terms of Gibbs Grand-Canonical Ensemble," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 516-524.
- Arthur Matsuo Yamashita Rios de Sousa & Hideki Takayasu & Misako Takayasu, 2017. "Detection of statistical asymmetries in non-stationary sign time series: Analysis of foreign exchange data," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-18, May.
- Alvarez-Ramirez, Jose & Ibarra-Valdez, Carlos, 2001. "Modeling stock market dynamics based on conservation principles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 493-511.
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Keywords
Boltzmann equation; Equilibrium market; Share price; Econophysics; Order parameter;All these keywords.
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