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Econophysics: financial time series from a statistical physics point of view

Citations

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Cited by:

  1. Nurbanu Bursa & Hüseyin Tatlýdil, 2015. "Investigation of Credit Default Swaps using Detrended Fluctuation Analysis which is an Econophysical Technique," Eurasian Eononometrics, Statistics and Emprical Economics Journal, Eurasian Academy Of Sciences, vol. 2(2), pages 25-33, October.
  2. Eterovic, Nicolas A. & Eterovic, Dalibor S., 2013. "Separating the wheat from the chaff: Understanding portfolio returns in an emerging market," Emerging Markets Review, Elsevier, vol. 16(C), pages 145-169.
  3. Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
  4. 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.
  5. 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.
  6. 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.
  7. Wang, Jie & Wang, Jun, 2020. "Cross-correlation complexity and synchronization of the financial time series on Potts dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  8. 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.
  9. Olkhov, Victor, 2022. "Market-Based Price Autocorrelation," MPRA Paper 120288, University Library of Munich, Germany, revised 26 Feb 2024.
  10. Tomonori Takahashi & Takayuki Mizuno, 2024. "Generation of synthetic financial time series by diffusion models," Papers 2410.18897, arXiv.org.
  11. Henriques, M.V.C. & Leite, F.E.A. & Andrade, R.F.S. & Andrade, J.S. & Lucena, L.S. & Neto, M. Lucena, 2015. "Improving the analysis of well-logs by wavelet cross-correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 417(C), pages 130-140.
  12. Zhang, Hao & Cai, Guixin & Yang, Dongxiao, 2020. "The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective," Energy, Elsevier, vol. 196(C).
  13. 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).
  14. Giuricich, Mario Nicoló & Burnecki, Krzysztof, 2019. "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 498-513.
  15. Ilaria Bordino & Stefano Battiston & Guido Caldarelli & Matthieu Cristelli & Antti Ukkonen & Ingmar Weber, 2012. "Web Search Queries Can Predict Stock Market Volumes," PLOS ONE, Public Library of Science, vol. 7(7), pages 1-17, July.
  16. Yin, Yi & Shang, Pengjian & Ahn, Andrew C. & Peng, Chung-Kang, 2019. "Multiscale joint permutation entropy for complex time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 388-402.
  17. Xiao, Di & Wang, Jun, 2021. "Attitude interaction for financial price behaviours by contact system with small-world network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).
  18. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
  19. Olkhov, Victor, 2022. "Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model," MPRA Paper 112255, University Library of Munich, Germany.
  20. Yuriy Mishchenko, 2014. "Oscillations in Rational Economies," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-6, February.
  21. Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2009. "Forbidden patterns, permutation entropy and stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2854-2864.
  22. Kim, Jun Sik & Ryu, Doojin, 2014. "Intraday price dynamics in spot and derivatives markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 247-253.
  23. 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.
  24. Xing, Yani & Wang, Jun, 2019. "Statistical volatility duration and complexity of financial dynamics on Sierpinski gasket lattice percolation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 234-247.
  25. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
  26. Javier Morales & V'ictor Tercero & Fernando Camacho & Eduardo Cordero & Luis L'opez & F-Javier Almaguer, 2014. "Trend and Fractality Assessment of Mexico's Stock Exchange," Papers 1411.3399, arXiv.org.
  27. Zhang, Wei & Wang, Jun, 2017. "Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 29-41.
  28. Cem Çağrı Dönmez & Abdulkadir Atalan, 2019. "Developing Statistical Optimization Models for Urban Competitiveness Index: Under the Boundaries of Econophysics Approach," Complexity, Hindawi, vol. 2019, pages 1-11, November.
  29. Der Chyan Lin, 2013. "Synchrony in Broadband Fluctuation and the 2008 Financial Crisis," PLOS ONE, Public Library of Science, vol. 8(10), pages 1-9, October.
  30. Alexandros Leontitsis & Constantinos E. Vorlow, 2005. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Papers physics/0504187, arXiv.org.
  31. S. Prabakaran, 2014. "Exchange Rate Equilibrium – The Thermodynamics Approach," International Journal of Financial Economics, Research Academy of Social Sciences, vol. 3(1), pages 11-24.
  32. Spelta, A. & Flori, A. & Pecora, N. & Pammolli, F., 2021. "Financial crises: Uncovering self-organized patterns and predicting stock markets instability," Journal of Business Research, Elsevier, vol. 129(C), pages 736-756.
  33. Daly, J. & Crane, M. & Ruskin, H.J., 2008. "Random matrix theory filters in portfolio optimisation: A stability and risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(16), pages 4248-4260.
  34. Fang, Wen & Wang, Jun, 2013. "Fluctuation behaviors of financial time series by a stochastic Ising system on a Sierpinski carpet lattice," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4055-4063.
  35. Yang, Guo-Hui & Zhong, Guang-Yan & Wang, Li-Ya & Xie, Zu-Guang & Li, Jiang-Cheng, 2024. "A hybrid forecasting framework based on MCS and machine learning for higher dimensional and unbalanced systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 637(C).
  36. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2019. "Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 97-113.
  37. Leontitsis, Alexandros & Vorlow, Constantinos E., 2006. "Accounting for outliers and calendar effects in surrogate simulations of stock return sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(2), pages 522-530.
  38. 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.
  39. Stijn De Backer & Luis E. C. Rocha & Jan Ryckebusch & Koen Schoors, 2024. "On the potential of quantum walks for modeling financial return distributions," Papers 2403.19502, arXiv.org, revised Dec 2024.
  40. Boon Leong Lan & Cristina Masoller, 2016. "Heavy-Tailed Fluctuations in the Spiking Output Intensity of Semiconductor Lasers with Optical Feedback," PLOS ONE, Public Library of Science, vol. 11(2), pages 1-10, February.
  41. Binner, J.M. & Tino, P. & Tepper, J. & Anderson, R. & Jones, B. & Kendall, G., 2010. "Does money matter in inflation forecasting?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4793-4808.
  42. Tastan, Hüseyin, 2006. "Estimating time-varying conditional correlations between stock and foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 445-458.
  43. Wang, Lei & Liu, Lutao, 2020. "Long-range correlation and predictability of Chinese stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
  44. Liu, Xiaoming & Lin, Aijing & Li, Shuqi, 2021. "Classification of international stock markets through MDS based on Hurst-surface distance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  45. Trincado, Estrella & Vindel, José María, 2015. "An application of econophysics to the history of economic thought: The analysis of texts from the frequency of appearance of key words," Economics Discussion Papers 2015-51, Kiel Institute for the World Economy (IfW Kiel).
  46. Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad, 2017. "Emerging interdependence between stock values during financial crashes," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-15, May.
  47. Wu, Zhenyu & Shang, Pengjian & Xiong, Hui, 2018. "An improvement of the measurement of time series irreversibility with visibility graph approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 370-378.
  48. Morales, Javier & Tercero, Víctor & Camacho-Vallejo, José-Fernando & Cordero, Alvaro E. & López Nerio, Luis E. & Almaguer, F-Javier, 2016. "Trend and fractality assessment of Mexico’s stock exchange," Applied Mathematics and Computation, Elsevier, vol. 285(C), pages 103-113.
  49. Wang, Yiduan & Zheng, Shenzhou & Zhang, Wei & Wang, Jun & Wang, Guochao, 2018. "Modeling and complexity of stochastic interacting Lévy type financial price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 498-511.
  50. Sayantan Ghosh & P. Manimaran & Prasanta K. Panigrahi, 2010. "Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series," Papers 1003.2539, arXiv.org, revised Dec 2010.
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