Finite-Range Contact Process On The Market Return Intervals Distributions
Author
Abstract
Suggested Citation
DOI: 10.1142/S0219525910002797
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
- Antonio Caparrós Ruiz & Mª. Lucía Navarro Gómez, 2002. "Factors affecting quits and layoffs in Spain," Economic Working Papers at Centro de Estudios Andaluces E2002/16, Centro de Estudios Andaluces.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Niu, Hongli & Wang, Jun, 2017. "Return volatility duration analysis of NYMEX energy futures and spot," Energy, Elsevier, vol. 140(P1), pages 837-849.
- Niu, Hongli & Wang, Jun, 2013. "Complex dynamic behaviors of oriented percolation-based financial time series and Hang Seng index," Chaos, Solitons & Fractals, Elsevier, vol. 52(C), pages 36-44.
- Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2020. "Fluctuation and volatility dynamics of stochastic interacting energy futures price model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
- Gu, Danlei & Huang, Jingjing, 2019. "Multifractal detrended fluctuation analysis on high-frequency SZSE in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 225-235.
- Xie, Wen-Jie & Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2014.
"Extreme value statistics and recurrence intervals of NYMEX energy futures volatility,"
Economic Modelling, Elsevier, vol. 36(C), pages 8-17.
- Wen-Jie Xie & Zhi-Qiang Jiang & Wei-Xing Zhou, 2012. "Extreme value statistics and recurrence intervals of NYMEX energy futures volatility," Papers 1211.5502, arXiv.org.
- Zhang, Bo & Wang, Jun & Fang, Wen, 2015. "Volatility behavior of visibility graph EMD financial time series from Ising interacting system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 301-314.
- Junhuan Zhang & Peter McBurney & Katarzyna Musial, 2018. "Convergence of trading strategies in continuous double auction markets with boundedly-rational networked traders," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 301-352, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tanja Steiger & Christine Duller & Martin R. W. Hiebl, 2015. "No Consensus in Sight: An Analysis of Ten Years of Family Business Definitions in Empirical Research Studies," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 25-62.
- Zhang, Chao & Huang, Lu, 2010. "A quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5769-5775.
- Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Tour'e, 2013. "Modeling and Solving Alternative Financial Solutions Seeking," Papers 1306.2820, arXiv.org, revised Dec 2013.
- Liviu-Adrian Cotfas, 2012. "A quantum mechanical model for the rate of return," Papers 1211.1938, arXiv.org.
- Matthew J. Xerri & Yvonne Brunetto, 2011. "The Impact Of The Perceived Usefulness Of Workplace Social Networks Upon The Innovative Behaviour Of Sme Employees: A Social Capital Perspective," International Journal of Innovation Management (ijim), World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 959-987.
- Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.
- Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2010. "Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 107-116.
- Choi, Jaehyung, 2012. "Spontaneous symmetry breaking of arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3206-3218.
- Min Wang & Jun Wang, 2017. "Multiscale volatility duration characteristics on financial multi-continuum percolation dynamics," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 28(05), pages 1-21, May.
- Rodica Branzei & Dinko Dimitrov & Stef Tijs, 2008.
"Convex Games Versus Clan Games,"
International Game Theory Review (IGTR), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 363-372.
- Brânzei, R. & Dimitrov, D.A. & Tijs, S.H., 2006. "Convex Games versus Clan Games," Discussion Paper 2006-58, Tilburg University, Center for Economic Research.
- Branzei, Rodica & Dimitrov, Dinko & Tijs, Stef, 2011. "Convex games versus clan games," Center for Mathematical Economics Working Papers 381, Center for Mathematical Economics, Bielefeld University.
- Brânzei, R. & Dimitrov, D.A. & Tijs, S.H., 2006. "Convex Games versus Clan Games," Other publications TiSEM 3bcb5038-ad2e-4bcc-8141-7, Tilburg University, School of Economics and Management.
- Shiu-Sheng Chen & Tsong-Min Wu, 2010. "Taiwan'S Exchange Rate And Macroeconomic Policies Over The Business Cycle," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 55(03), pages 435-457.
- Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Touré, 2015. "Modeling and Solving Alternative Financial Solutions Seeking," Post-Print hal-00833327, HAL.
- Di Xiao & Jun Wang & Hongli Niu, 2016. "Volatility Analysis of Financial Agent-Based Market Dynamics from Stochastic Contact System," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 607-625, December.
- Jana, T.K. & Roy, P., 2011. "Supersymmetry in option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2350-2355.
- Emmanuel Haven, 2008. "Private Information and the ‘Information Function’: A Survey of Possible Uses," Theory and Decision, Springer, vol. 64(2), pages 193-228, March.
- Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2012. "Arbitrage-free self-organizing markets with GARCH properties: Generating them in the lab with a lattice model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4350-4363.
- Liu, Haijun & Wang, Longfei, 2018. "The price momentum of stock in distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 2336-2344.
- Giovanni Paolinelli & Gianni Arioli, 2018. "A path integral based model for stocks and order dynamics," Papers 1803.07904, arXiv.org.
- Haven, Emmanuel, 2008. "Elementary Quantum Mechanical Principles and Social Science: Is There a Connection?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(1), pages 41-58, March.
- Cornelis A. Los, 2004. "Measuring Financial Cash Flow and Term Structure Dynamics," Finance 0409046, University Library of Munich, Germany.
More about this item
Keywords
Statistical physics; stock price; finite range contact process; probability density function; return; return intervals;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:acsxxx:v:13:y:2010:i:05:n:s0219525910002797. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/acs/acs.shtml .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.