Power-law distributions in economics: a nonextensive statistical approach
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Cited by:
- Urbanowicz, Krzysztof & Richmond, Peter & Hołyst, Janusz A., 2007.
"Risk evaluation with enhanced covariance matrix,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 468-474.
- Krzysztof Urbanowicz & Peter Richmond & Janusz A. Holyst, 2006. "Risk evaluation with enhaced covariance matrix," Papers physics/0612059, arXiv.org, revised May 2007.
- Kaizoji, Taisei, 2006.
"An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 109-113.
- Taisei Kaizoji, 2006. "An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics," Papers physics/0601106, arXiv.org, revised Apr 2006.
- Lasko Basnarkov & Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev, 2019.
"Option Pricing With Heavy-Tailed Distributions Of Logarithmic Returns,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-35, November.
- Lasko Basnarkov & Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev, 2018. "Option Pricing with Heavy-Tailed Distributions of Logarithmic Returns," Papers 1807.01756, arXiv.org, revised Apr 2019.
- Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo, 2013. "Bridging stylized facts in finance and data non-stationarities," Papers 1302.3197, arXiv.org, revised May 2013.
- de Mattos Neto, Paulo S.G. & Silva, David A. & Ferreira, Tiago A.E. & Cavalcanti, George D.C., 2011. "Market volatility modeling for short time window," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3444-3453.
- Lima, Leonardo S. & Santos, Greicy K.C., 2018. "Stochastic process with multiplicative structure for the dynamic behavior of the financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 222-229.
- Gontis, V. & Ruseckas, J. & Kononovičius, A., 2010. "A long-range memory stochastic model of the return in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 100-106.
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