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Volatility of volatility of financial markets

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  • L. Ingber & J.K. Wilson, 1999. "Volatility of volatility of financial markets," Lester Ingber Papers 99vv, Lester Ingber.
    • Handle: RePEc:lei:ingber:99vv
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    References listed on IDEAS

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    1. L. Ingber, 1990. "Statistical mechanical aids to calculating term structure models," Lester Ingber Papers 90ac, Lester Ingber.
    2. L. Ingber, 1984. "Statistical mechanics of nonlinear nonequilibrium financial markets," Lester Ingber Papers 84nn, Lester Ingber.
    3. L. Ingber, 1996. "Canonical momenta indicators of financial markets and neocortical EEG," Lester Ingber Papers 96cm, Lester Ingber.
    4. L. Ingber & H. Fujio & M.F. Wehner, 1991. "Mathematical comparison of combat computer models to exercise data," Lester Ingber Papers 91mc, Lester Ingber.
    5. L. Ingber, 1998. "Some Applications of Statistical Mechanics of Financial Markets," Lester Ingber Papers 98sa, Lester Ingber.
    6. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    7. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000. "Pricing and hedging long-term options," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 277-318.
    8. L. Ingber, 1996. "Nonlinear nonequilibrium nonquantum nonchaotic statistical mechanics of neocortical interactions," Lester Ingber Papers 96nn, Lester Ingber.
    9. Wilmott,Paul & Howison,Sam & Dewynne,Jeff, 1995. "The Mathematics of Financial Derivatives," Cambridge Books, Cambridge University Press, number 9780521497893, January.
    10. L. Ingber & M.F. Wehner & G.M. Jabbour & T.M. Barnhill, 1991. "Application of statistical mechanics methodology to term-structure bond-pricing models," Lester Ingber Papers 91as, Lester Ingber.
    11. L. Ingber, 1993. "Adaptive Simulated Annealing (ASA)," Lester Ingber Software asa, Lester Ingber.
    12. L. Ingber, 1986. "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
    13. L. Ingber, 1994. "Statistical mechanics of neocortical interactions: Path-integral evolution of short-term memory," Lester Ingber Papers 94ni, Lester Ingber.
    14. L. Ingber, 1996. "Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading," Lester Ingber Papers 96nf, Lester Ingber.
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    Cited by:

    1. L. Ingber, 2018. "Quantum path integral for financial options," Lester Ingber Papers 18qp, Lester Ingber.
    2. L. Ingber, 2006. "Statistical mechanics of neocortical interactions: Portfolio of physiological indicators," Lester Ingber Papers 06pp, Lester Ingber.
    3. L. Ingber, 2018. "Quantum Variables in Finance and Neuroscience," Lester Ingber Papers 18qv, Lester Ingber.
    4. L. Ingber, 2017. "Quantum Path-Integral qPATHINT Algorithm," Lester Ingber Papers 17qa, Lester Ingber.
    5. Lester Ingber, 2020. "Developing Bid-Ask Probabilities for High-Frequency Trading," Virtual Economics, The London Academy of Science and Business, vol. 3(2), pages 7-24, April.
    6. Ingber, Lester, 2000. "High-resolution path-integral development of financial options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 529-558.
    7. L. Ingber & J.K. Wilson, 2000. "Statistical mechanics of financial markets: Exponential modifications to Black-Scholes," Lester Ingber Papers 00fm, Lester Ingber.
    8. L. Ingber, 2017. "Options on quantum money: Quantum path-integral with serial shocks," Lester Ingber Papers 17oq, Lester Ingber.
    9. L. Ingber, 2022. "Quantum Variables in Finance," Lester Ingber Papers 22qv, Lester Ingber.
    10. L. Ingber, 2018. "Quantum calcium-ion interactions with EEG," Lester Ingber Papers 18qc, Lester Ingber.
    11. L. Ingber, 2019. "Quantum-Classical interactions: calcium ions and synchronous neural firings," Lester Ingber Papers 19qc, Lester Ingber.
    12. L. Ingber & C. Chen & R.P. Mondescu & D. Muzzall & M. Renedo, 2001. "Probability tree algorithm for general diffusion processes," Lester Ingber Papers 01pt, Lester Ingber.
    13. L. Ingber, 2020. "Forecasting with importance-sampling and path-integrals: Applications to COVID-19," Lester Ingber Papers 20fi, Lester Ingber.
    14. F. Parpinel & C. Pizzi, 2002. "Iterative estimation procedure for option pricing with stochastic volatility models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 211-223.
    15. L. Ingber, 2002. "Statistical mechanics of portfolios of options," Lester Ingber Papers 02po, Lester Ingber.
    16. L. Ingber, 1999. "A simple options training model," Lester Ingber Papers 99so, Lester Ingber.
    17. L. Ingber, 2021. "Hybrid classical-quantum computing: Applications to statistical mechanics of financial markets," Lester Ingber Papers 21cq, Lester Ingber.
    18. L. Ingber, 2021. "Hybrid classical-quantum computing: Applications to statistical mechanics of neocortical interactions," Lester Ingber Papers 21hc, Lester Ingber.

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    2. L. Ingber & J.K. Wilson, 2000. "Statistical mechanics of financial markets: Exponential modifications to Black-Scholes," Lester Ingber Papers 00fm, Lester Ingber.
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    15. L. Ingber, 2017. "Quantum Path-Integral qPATHINT Algorithm," Lester Ingber Papers 17qa, Lester Ingber.
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