IDEAS home Printed from https://ideas.repec.org/r/eee/phsmap/v387y2008i15p3967-3981.html
   My bibliography  Save this item

A statistical physics view of financial fluctuations: Evidence for scaling and universality

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "Risk preference, option pricing and portfolio hedging with proportional transaction costs," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 111-130.
  2. Frank McGroarty & Ash Booth & Enrico Gerding & V. L. Raju Chinthalapati, 2019. "High frequency trading strategies, market fragility and price spikes: an agent based model perspective," Annals of Operations Research, Springer, vol. 282(1), pages 217-244, November.
  3. Kanjamapornkul, K. & Pinčák, Richard & Bartoš, Erik, 2016. "The study of Thai stock market across the 2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 117-133.
  4. Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
  5. Olkhov, Victor, 2019. "New Essentials of Economic Theory," MPRA Paper 95065, University Library of Munich, Germany.
  6. Matthieu Garcin, 2019. "Fractal analysis of the multifractality of foreign exchange rates [Analyse fractale de la multifractalité des taux de change]," Working Papers hal-02283915, HAL.
  7. Yanlin Shi & Lingbing Feng & Tong Fu, 2020. "Markov Regime-Switching in-Mean Model with Tempered Stable Distribution," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1275-1299, April.
  8. Diks, Cees & Hommes, Cars & Zeppini, Paolo, 2013. "More memory under evolutionary learning may lead to chaos," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 808-812.
  9. Cristescu, C.P. & Stan, C. & Scarlat, E.I., 2009. "The dynamics of exchange rate time series and the chaos game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(23), pages 4845-4855.
  10. Lingbing Feng & Yanlin Shi, 2017. "A simulation study on the distributions of disturbances in the GARCH model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1355503-135, January.
  11. Cai, Chunhao & Cheng, Xuwen & Xiao, Weilin & Wu, Xiang, 2019. "Parameter identification for mixed fractional Brownian motions with the drift parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  12. Li, Ming & Zhang, Peidong & Leng, Jianxing, 2016. "Improving autocorrelation regression for the Hurst parameter estimation of long-range dependent time series based on golden section search," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 189-199.
  13. Robert Kitt, 2012. "Economic decision making: application of the theory of complex systems," Papers 1208.1277, arXiv.org, revised Apr 2013.
  14. Peng Liu & Yanyan Zheng, 2022. "Precision measurement of the return distribution property of the Chinese stock market index," Papers 2209.08521, arXiv.org, revised Nov 2023.
  15. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "European option pricing under the Student’s t noise with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 848-858.
  16. Fa-Bin Shi & Xiao-Qian Sun & Jin-Hua Gao & Li Xu & Hua-Wei Shen & Xue-Qi Cheng, 2019. "Anomaly detection in Bitcoin market via price return analysis," PLOS ONE, Public Library of Science, vol. 14(6), pages 1-11, June.
  17. McCauley, Joseph & Roehner, Bertrand & Stanley, Eugene & Schinckus, Christophe, 2016. "Editorial: The 20th anniversary of econophysics: Where we are and where we are going," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 267-269.
  18. Tsai, Kuo-Ting & Lih, Jiann-Shing & Ko, Jing-Yuan, 2012. "The overnight effect on the Taiwan stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6497-6505.
  19. Jean-Philippe Bouchaud & Damien Challet, 2016. "Why have asset price properties changed so little in 200 years," Papers 1605.00634, arXiv.org.
  20. de Mattos Neto, Paulo S.G. & Cavalcanti, George D.C. & Madeiro, Francisco & Ferreira, Tiago A.E., 2013. "An ideal gas approach to classify countries using financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 177-183.
  21. Siqueira, Erinaldo Leite & Stošić, Tatijana & Bejan, Lucian & Stošić, Borko, 2010. "Correlations and cross-correlations in the Brazilian agrarian commodities and stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2739-2743.
  22. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "The long memory and the transaction cost in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 312-320.
  23. Bury, Thomas, 2013. "Market structure explained by pairwise interactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1375-1385.
  24. Agliari, Anna & Naimzada, Ahmad & Pecora, Nicolò, 2017. "Dynamic effects of memory in a cobweb model with competing technologies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 340-350.
  25. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
  26. Kim, Kyungwon, 2013. "Modeling financial crisis period: A volatility perspective of Credit Default Swap market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 4977-4988.
  27. Victor Olkhov, 2019. "Econophysics of Asset Price, Return and Multiple Expectations," Papers 1901.05024, arXiv.org, revised Sep 2020.
  28. Negrea, Bogdan, 2014. "A statistical measure of financial crises magnitude," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 54-75.
  29. Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 189-204.
  30. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
  31. Zijian Shi & John Cartlidge, 2023. "Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology," Papers 2303.00080, arXiv.org.
  32. Alberto Ciacci & Takumi Sueshige & Hideki Takayasu & Kim Christensen & Misako Takayasu, 2020. "The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-19, June.
  33. Robert Kitt, 2016. "Complex Endogenous Growth Model and Its Applications," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 8(1).
  34. Lee, Junghoon & Youn, Janghyuk & Chang, Woojin, 2012. "Intraday volatility and network topological properties in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1354-1360.
  35. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
  36. Wang, Xiao-Tian & Zhao, Zhong-Feng & Fang, Xiao-Fen, 2015. "Option pricing and portfolio hedging under the mixed hedging strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 194-206.
  37. Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW Kiel).
  38. Jiang, Chenguang & Shang, Pengjian & Shi, Wenbin, 2016. "Multiscale multifractal time irreversibility analysis of stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 492-507.
  39. Olkhov, Victor, 2019. "New Essentials of Economic Theory III. Economic Applications," MPRA Paper 94053, University Library of Munich, Germany.
  40. Poitras, Geoffrey, 2018. "The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 89-98.
  41. Sabiou Inoua, 2015. "The Intrinsic Instability of Financial Markets," Papers 1508.02203, arXiv.org.
  42. Gordon J. Ross, 2012. "Modeling Financial Volatility in the Presence of Abrupt Changes," Papers 1212.6016, arXiv.org.
  43. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  44. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.
  45. Shi, Yanlin & Feng, Lingbing, 2016. "A discussion on the innovation distribution of the Markov regime-switching GARCH model," Economic Modelling, Elsevier, vol. 53(C), pages 278-288.
  46. Ross, Gordon J., 2013. "Modelling financial volatility in the presence of abrupt changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 350-360.
  47. Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.
  48. Tong Liu & Yanlin Shi, 2022. "Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market," Mathematics, MDPI, vol. 10(11), pages 1-18, June.
  49. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2013. "Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1795-1802.
  50. B. D. Craven & Sardar M. N. Islam, 2015. "Stock Price Modeling: Separation of Trend and Fluctuations, and Implications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-12, December.
  51. Mahata, Ajit & Bal, Debi Prasad & Nurujjaman, Md, 2020. "Identification of short-term and long-term time scales in stock markets and effect of structural break," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.