Dynamical model of financial markets: fluctuating ‘temperature’ causes intermittent behavior of price changes
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DOI: 10.1016/S0378-4371(03)00592-2
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Cited by:
- Christoph J. Borner & Ingo Hoffmann & John H. Stiebel, 2024. "A closer look at the chemical potential of an ideal agent system," Papers 2401.09233, arXiv.org.
- Christoph J. Borner & Ingo Hoffmann & John H. Stiebel, 2023. "On the Connection between Temperature and Volatility in Ideal Agent Systems," Papers 2303.15164, arXiv.org.
- Kozaki, M. & Sato, A.-H., 2008. "Application of the Beck model to stock markets: Value-at-Risk and portfolio risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1225-1246.
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Keywords
Foreign exchange market; Volatility; Tsallis distribution; χ2-distribution; Brownian motion;All these keywords.
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