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Physics of Finance

Citations

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Cited by:

  1. Jasmina Jekni'c-Dugi'c & Sonja Radi' c & Igor Petrovi'c & Momir Arsenijevi'c & Miroljub Dugi'c, 2018. "Quantum Brownian oscillator for the stock market," Papers 1901.10544, arXiv.org.
  2. Pis‘mak, Yu.M., 2001. "Self-organization in a model of economic system with scale invariant interactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 311-318.
  3. Martin Gremm, 2016. "Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate," Papers 1605.03551, arXiv.org.
  4. Tiansong Wang & Jun Wang & Bingli Fan, 2009. "Statistical Analysis By Statistical Physics Model For The Stock Markets," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 20(10), pages 1547-1562.
  5. Pedram, Pouria, 2012. "The minimal length uncertainty and the quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2100-2105.
  6. repec:hal:wpaper:hal-00833327 is not listed on IDEAS
  7. Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo & Ruiz, Aaron, 2010. "A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5447-5459.
  8. Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.
  9. Kirill Ilinski & Alexander Stepanenko, 1998. "Electrodynamical model of quasi-efficient financial market," Finance 9805007, University Library of Munich, Germany.
  10. 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.
  11. 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.
  12. Junhuan Zhang & Jun Wang & Jiguang Shao, 2010. "Finite-Range Contact Process On The Market Return Intervals Distributions," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 13(05), pages 643-657.
  13. C. Gonçalves P., 2015. "Financial Market Modeling With Quantum Neural Networks," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(4), pages 44-63.
  14. Giovanni Paolinelli & Gianni Arioli, 2018. "A path integral based model for stocks and order dynamics," Papers 1803.07904, arXiv.org.
  15. Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013. "On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks," Papers 1301.4881, arXiv.org, revised Feb 2013.
  16. Hongli Niu & Jun Wang, 2014. "Phase and multifractality analyses of random price time series by finite-range interacting biased voter system," Computational Statistics, Springer, vol. 29(5), pages 1045-1063, October.
  17. Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Tour'e, 2013. "Modeling and Solving Alternative Financial Solutions Seeking," Papers 1306.2820, arXiv.org, revised Dec 2013.
  18. Jaehyung Choi, 2011. "Spontaneous symmetry breaking of arbitrage," Papers 1107.5122, arXiv.org, revised Apr 2012.
  19. Raymond J. Hawkins & B. Roy Frieden, 2012. "Asymmetric Information and Quantization in Financial Economics," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2012, pages 1-11, December.
  20. Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.
  21. Yao Yu & Jun Wang, 2012. "Lattice-oriented percolation system applied to volatility behavior of stock market," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(4), pages 785-797, August.
  22. B. Zhang & J. Wang & W. Zhang & G. C. Wang, 2020. "Nonlinear Scaling Behavior of Visible Volatility Duration for Financial Statistical Physics Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 373-389, August.
  23. 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.
  24. Jana, T.K. & Roy, P., 2012. "Pseudo Hermitian formulation of the quantum Black–Scholes Hamiltonian," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2636-2640.
  25. Xiao, Di & Wang, Jun, 2012. "Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4827-4838.
  26. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  27. Choi, Jaehyung, 2012. "Spontaneous symmetry breaking of arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3206-3218.
  28. Samuel E. Vazquez, 2009. "Scale Invariance, Bounded Rationality and Non-Equilibrium Economics," Papers 0902.3840, arXiv.org.
  29. Zhang, Bo & Wang, Guochao & Wang, Yiduan & Zhang, Wei & Wang, Jun, 2019. "Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1012-1025.
  30. B. Dupoyet & H. R. Fiebig & D. P. Musgrove, 2011. "Arbitrage-free Self-organizing Markets with GARCH Properties: Generating them in the Lab with a Lattice Model," Papers 1112.2379, arXiv.org.
  31. Emmanuel Frenod & Jean-Philippe Gouigoux & Landry Touré, 2015. "Modeling and Solving Alternative Financial Solutions Seeking," Post-Print hal-00833327, HAL.
  32. Mauricio Contreras G. & Roberto Ortiz H, 2021. "Three little arbitrage theorems," Papers 2104.10187, arXiv.org.
  33. Pouria Pedram, 2011. "The minimal length uncertainty and the quantum model for the stock market," Papers 1111.6859, arXiv.org, revised Jan 2012.
  34. Simone Farinelli & Hideyuki Takada, 2019. "The Black-Scholes Equation in Presence of Arbitrage," Papers 1904.11565, arXiv.org, revised Oct 2021.
  35. Liviu-Adrian Cotfas, 2012. "A quantum mechanical model for the rate of return," Papers 1211.1938, arXiv.org.
  36. A. Sokolov & T. Kieu & A. Melatos, 2010. "A note on the theory of fast money flow dynamics," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(4), pages 637-642, August.
  37. 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.
  38. 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.
  39. Liviu-Adrian Cotfas, 2012. "A finite-dimensional quantum model for the stock market," Papers 1204.4614, arXiv.org, revised Sep 2012.
  40. Wanxiao Tang & Jun Zhao & Peibiao Zhao, 2019. "Geometric No-Arbitrage Analysis in the Dynamic Financial Market with Transaction Costs," JRFM, MDPI, vol. 12(1), pages 1-17, February.
  41. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2011. "Replicating financial market dynamics with a simple self-organized critical lattice model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(18), pages 3120-3135.
  42. 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.
  43. Wang, Tiansong & Wang, Jun & Zhang, Junhuan & Fang, Wen, 2011. "Voter interacting systems applied to Chinese stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2492-2506.
  44. Giovanni Paolinelli & Gianni Arioli, 2018. "A model for stocks dynamics based on a non-Gaussian path integral," Papers 1809.01342, arXiv.org, revised Oct 2018.
  45. B. Dupoyet & H. R. Fiebig & D. P. Musgrove, 2010. "Replicating financial market dynamics with a simple self-organized critical lattice model," Papers 1010.4831, arXiv.org.
  46. P. Liebrich, 2019. "A Relation between Short-Term and Long-Term Arbitrage," Papers 1909.00570, arXiv.org.
  47. Simone Farinelli & Hideyuki Takada, 2014. "Credit Bubbles in Arbitrage Markets: The Geometric Arbitrage Approach to Credit Risk," Papers 1406.6805, arXiv.org, revised Jul 2021.
  48. Hongli Niu & Jun Wang, 2013. "Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(10), pages 2188-2203, October.
  49. Bordley, Robert F., 2005. "Econophysics and individual choice," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 479-495.
  50. Jana, T.K. & Roy, P., 2011. "Supersymmetry in option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2350-2355.
  51. 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.
  52. Kakushadze, Zura, 2017. "Volatility smile as relativistic effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 475(C), pages 59-76.
  53. Cotfas, Liviu-Adrian, 2013. "A finite-dimensional quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 371-380.
  54. Simone Farinelli & Hideyuki Takada, 2015. "Can You hear the Shape of a Market? Geometric Arbitrage and Spectral Theory," Papers 1509.03264, arXiv.org, revised Sep 2021.
  55. Mauricio Contreras G, 2020. "An Application of Dirac's Interaction Picture to Option Pricing," Papers 2010.06747, arXiv.org.
  56. 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.
  57. Contreras, Mauricio & Montalva, Rodrigo & Pellicer, Rely & Villena, Marcelo, 2010. "Dynamic option pricing with endogenous stochastic arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3552-3564.
  58. Simone Farinelli & Hideyuki Takada, 2019. "When Risks and Uncertainties Collide: Mathematical Finance for Arbitrage Markets in a Quantum Mechanical View," Papers 1906.07164, arXiv.org, revised Jan 2021.
  59. Mauricio Contreras G, 2020. "Endogenous Stochastic Arbitrage Bubbles and the Black--Scholes model," Papers 2009.09329, arXiv.org.
  60. Cornelis A. Los, 2004. "Measuring Financial Cash Flow and Term Structure Dynamics," Finance 0409046, University Library of Munich, Germany.
  61. 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.
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