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Financial Market Complexity

Citations

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Cited by:

  1. Erzgräber, Hartmut & Strozzi, Fernanda & Zaldívar, José-Manuel & Touchette, Hugo & Gutiérrez, Eugénio & Arrowsmith, David K., 2008. "Time series analysis and long range correlations of Nordic spot electricity market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6567-6574.
  2. Tobias Galla & David Sherrington, 2005. "Stationary states of a spherical Minority Game with ergodicity breaking," Papers cond-mat/0508413, arXiv.org, revised Aug 2005.
  3. Zhao, Zhenyuan & Fenn, Daniel J. & Hui, Pak Ming & Johnson, Neil F., 2010. "Self-organized global control of carbon emissions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3546-3551.
  4. Jun-Jie Chen & Lei Tan & Bo Zheng, 2015. "Agent-based model with multi-level herding for complex financial systems," Papers 1504.01811, arXiv.org.
  5. M. Mallikarjuna & R. Prabhakara Rao, 2019. "Evaluation of forecasting methods from selected stock market returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-16, December.
  6. 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.
  7. Lustosa, Bernardo C. & Cajueiro, Daniel O., 2010. "Constrained information minority game: How was the night at El Farol?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1230-1238.
  8. Jianrong Wei & Jiping Huang, 2012. "An Exotic Long-Term Pattern in Stock Price Dynamics," PLOS ONE, Public Library of Science, vol. 7(12), pages 1-5, December.
  9. Lim, Gyuchang & Kim, SooYong & Kim, Junghwan & Kim, Pyungsoo & Kang, Yoonjong & Park, Sanghoon & Park, Inho & Park, Sang-Bum & Kim, Kyungsik, 2009. "Structure of a financial cross-correlation matrix under attack," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3851-3858.
  10. V. Alfi & L. Pietronero & A. Zaccaria, 2008. "Minimal Agent Based Model For The Origin And Self-Organization Of Stylized Facts In Financial Markets," Papers 0807.1888, arXiv.org.
  11. Campos, Daniel & Llebot, Josep E. & Méndez, Vicenç, 2008. "Limited resources and evolutionary learning may help to understand the mistimed reproduction in birds caused by climate change," Theoretical Population Biology, Elsevier, vol. 74(1), pages 16-21.
  12. Lim, Kian-Ping, 2007. "Ranking market efficiency for stock markets: A nonlinear perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 445-454.
  13. G., Mauricio Contreras & Peña, Juan Pablo, 2019. "The quantum dark side of the optimal control theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 450-473.
  14. Mahdi Moradi & Mehdi Jabbari Nooghabi & Mohammad Mahdi Rounaghi, 2021. "Investigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 662-678, January.
  15. Ahn, Sanghyun & Lim, Gyuchang & Kim, Sooyong & Kim, Kyungsik, 2009. "Grafting of higher-order correlations of real financial markets into herding models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3195-3201.
  16. Gou, Chengling & Guo, Xiaoqian & Chen, Fang, 2008. "Study on system dynamics of evolutionary mix-game models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(25), pages 6353-6359.
  17. Westerhoff, Frank H., 2004. "Greed, fear and stock market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 635-642.
  18. Miroslav Verbic, 2008. "On the Role of Memory in an Asset Pricing Model with Heterogeneous Beliefs," Financial Theory and Practice, Institute of Public Finance, vol. 32(2), pages 195-229.
  19. Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
  20. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
  21. Strozzi, F. & Zaldívar, J.M., 2005. "Non-linear forecasting in high-frequency financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 463-479.
  22. Bàrbara Llacay & Gilbert Peffer, 2018. "Using realistic trading strategies in an agent-based stock market model," Computational and Mathematical Organization Theory, Springer, vol. 24(3), pages 308-350, September.
  23. Arias-Calluari, Karina & Najafi, Morteza. N. & Harré, Michael S. & Tang, Yaoyue & Alonso-Marroquin, Fernando, 2022. "Testing stationarity of the detrended price return in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
  24. Mello, Bernardo A. & Cajueiro, Daniel O., 2008. "Minority games, diversity, cooperativity and the concept of intelligence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 557-566.
  25. Karina Arias-Calluari & Morteza. N. Najafi & Michael S. Harr'e & Fernando Alonso-Marroquin, 2019. "Stationarity of the detrended price return in stock markets," Papers 1910.01034, arXiv.org, revised Aug 2020.
  26. Indranil Mukherjee & Amitava Sarkar, 2011. "Complexity, Financial Markets and their Scaling Laws," DEGIT Conference Papers c016_008, DEGIT, Dynamics, Economic Growth, and International Trade.
  27. Pištěk, Miroslav & Slanina, František, 2011. "Diversity of scales makes an advantage: The case of the Minority Game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2549-2561.
  28. Li, Da-Ye & Nishimura, Yusaku & Men, Ming, 2014. "Fractal markets: Liquidity and investors on different time horizons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 144-151.
  29. Karpio, Krzysztof & Załuska–Kotur, Magdalena A. & Orłowski, Arkadiusz, 2007. "Gain–loss asymmetry for emerging stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 599-604.
  30. Zhao, Guannan & McDonald, Mark & Fenn, Dan & Williams, Stacy & Johnson, Nicholas & Johnson, Neil F., 2013. "Transition in the waiting-time distribution of price-change events in a global socioeconomic system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6458-6469.
  31. Ben Moews & Gbenga Ibikunle, 2020. "Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning," Papers 2002.10385, arXiv.org.
  32. David Lambert & Fabio Vanni, 2017. "Complexity and Heterogeneity in a Dynamic Network," LEM Papers Series 2017/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  33. Moews, Ben & Ibikunle, Gbenga, 2020. "Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 547(C).
  34. Bianconi, Ginestra & Galla, Tobias & Marsili, Matteo & Pin, Paolo, 2009. "Effects of Tobin taxes in minority game markets," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 231-240, May.
  35. Ferreira, Fernando F. & de Oliveira, Viviane M. & Crepaldi, Antônio F. & Campos, Paulo R.A., 2005. "Agent-based model with heterogeneous fundamental prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 357(3), pages 534-542.
  36. Moonis Shakeel & Bhavana Srivastava, 2021. "Stylized Facts of High-frequency Financial Time Series Data," Global Business Review, International Management Institute, vol. 22(2), pages 550-564, April.
  37. Miroslav Piv{s}tv{e}k & Frantisek Slanina, 2014. "Diversity of scales makes an advantage: The case of the Minority Game," Papers 1401.4331, arXiv.org.
  38. Yang, Honglin & Wan, Hong & Zha, Yong, 2013. "Autocorrelation type, timescale and statistical property in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1681-1693.
  39. Xu, Chen & Hui, P.M. & Yu, You-Yang & Gu, Guo-Qing, 2009. "Self-organized cooperative behavior and critical penalty in an evolving population," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(20), pages 4445-4452.
  40. Lei Tan & Jun-Jie Chen & Bo Zheng & Fang-Yan Ouyang, 2016. "Exploring Market State and Stock Interactions on the Minute Timescale," PLOS ONE, Public Library of Science, vol. 11(2), pages 1-13, February.
  41. Gou, Chengling, 2007. "The relations between agent performances and their intellective abilities in mix-games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(2), pages 459-464.
  42. Oldham, Matthew, 2020. "Quantifying the concerns of Dimon and Buffett with data and computation," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  43. Ferreira, Fernando F. & Marsili, Matteo, 2005. "Real payoffs and virtual trading in agent based market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(3), pages 657-675.
  44. Talukdar, Dhritiman & Dutta, Kishore, 2020. "Impact of wars on the evolution of civilizations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  45. Frank H. Westerhoff, 2009. "Exchange Rate Dynamics: A Nonlinear Survey," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11, Edward Elgar Publishing.
  46. Jørgen Vitting Andersen, 2014. "From Minority Games to $-Games," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00971373, HAL.
  47. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
  48. J. Doyne Farmer & John Geanakoplos, 2008. "The virtues and vices of equilibrium and the future of financial economics," Papers 0803.2996, arXiv.org.
  49. Ted Theodosopoulos, 2004. "Uncertainty relations in models of market microstructure," Papers math/0409076, arXiv.org, revised Feb 2005.
  50. Namaki, A. & Jafari, G.R. & Raei, R., 2011. "Comparing the structure of an emerging market with a mature one under global perturbation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(17), pages 3020-3025.
  51. Xu, C. & Gu, G.-Q. & Hui, P.M., 2024. "Impacts of an expert’s opinion on the collective performance of a competing population for limited resources," Chaos, Solitons & Fractals, Elsevier, vol. 183(C).
  52. Fenn, Daniel & Suleman, Omer & Efstathiou, Janet & Johnson, Neil F., 2006. "How does Europe Make Its Mind Up? Connections, cliques, and compatibility between countries in the Eurovision Song Contest," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 576-598.
  53. Chatterjee, Soumya & Mukherjee, Indranil & Barat, P., 2018. "Analysis of the behaviour of the detrended BSE sensex data," Chaos, Solitons & Fractals, Elsevier, vol. 113(C), pages 186-196.
  54. Jørgen Vitting Andersen, 2014. "From Minority Games to $-Games," Working Papers halshs-00971373, HAL.
  55. Yang, G. & Chen, Y. & Huang, J.P., 2016. "The highly intelligent virtual agents for modeling financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 98-108.
  56. Llacay, Bàrbara & Peffer, Gilbert, 2017. "Impact of value-at-risk models on market stability," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 223-256.
  57. Rivera-Castro, Miguel A. & Miranda, José G.V. & Cajueiro, Daniel O. & Andrade, Roberto F.S., 2012. "Detecting switching points using asymmetric detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 170-179.
  58. Stefan, F.M. & Atman, A.P.F., 2015. "Is there any connection between the network morphology and the fluctuations of the stock market index?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 630-641.
  59. Lambert, David & Vanni, Fabio, 2018. "Complexity and heterogeneity in a dynamic network," Chaos, Solitons & Fractals, Elsevier, vol. 108(C), pages 94-103.
  60. Westerhoff, Frank & Reitz, Stefan, 2005. "Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 349(3), pages 641-648.
  61. Tedeschi, A. & De Martino, A. & Giardina, I., 2005. "Coordination, intermittency and trends in generalized minority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 358(2), pages 529-544.
  62. Niu, Hongli & Wang, Jun & Lu, Yunfan, 2016. "Fluctuation behaviors of financial return volatility duration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 30-40.
  63. A. Garcia-Bernabeu & J. V. Salcedo & A. Hilario & D. Pla-Santamaria & Juan M. Herrero, 2019. "Computing the Mean-Variance-Sustainability Nondominated Surface by ev-MOGA," Complexity, Hindawi, vol. 2019, pages 1-12, December.
  64. Ginestra Bianconi & Tobias Galla & Matteo Marsili, 2006. "Effects of Tobin Taxes in Minority Game markets," Papers cond-mat/0603134, arXiv.org.
  65. Strozzi, Fernanda & Comenges, José-Manuel Zaldívar, 2006. "Towards a non-linear trading strategy for financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 28(3), pages 601-615.
  66. Kostanjcar, Zvonko & Jeren, Branko & Juretic, Zeljan, 2012. "Impact of uncertainty in expected return estimation on stock price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5563-5571.
  67. Chuangxia Huang & Xian Zhao & Renli Su & Xiaoguang Yang & Xin Yang, 2022. "Dynamic network topology and market performance: A case of the Chinese stock market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1962-1978, April.
  68. Ni, Y.C. & Xu, C. & Hui, P.M. & Johnson, N.F., 2009. "Cooperative behavior in evolutionary snowdrift game with bounded rationality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(23), pages 4856-4862.
  69. Zhu, Changyong & Quan, Hongjun, 2010. "Three-option evolutionary minority game on small-world network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1739-1744.
  70. Theodosopoulos, Ted, 2005. "Uncertainty relations in models of market microstructure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 209-216.
  71. Mukherjee, I. & Chatterjee, Soumya & Giri, A. & Barat, P., 2017. "Understanding the pattern of the BSE Sensex," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 262-275.
  72. Matthew Oldham, 2019. "Understanding How Short-Termism and a Dynamic Investor Network Affects Investor Returns: An Agent-Based Perspective," Complexity, Hindawi, vol. 2019, pages 1-21, July.
  73. Niu, Hongli & Wang, Jun, 2017. "Return volatility duration analysis of NYMEX energy futures and spot," Energy, Elsevier, vol. 140(P1), pages 837-849.
  74. Smith, David M.D. & Johnson, Neil F., 2006. "Pair formation within multi-agent populations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(1), pages 151-158.
  75. Bolgorian, Meysam, 2011. "Intra-group and inter-group trading differentiation analysis: A new approach for detecting the effect of trading volume on stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4403-4410.
  76. Wei, J.R. & Huang, J.P. & Hui, P.M., 2013. "An agent-based model of stock markets incorporating momentum investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(12), pages 2728-2735.
  77. Emilian Lucian NEACSU & Marcela Daniela TODONI, 2014. "A Way To Determine Chaotic Behaviour In Romanian Stock Market," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 207-214, December.
  78. Leopoldo S'anchez-Cant'u & Carlos Arturo Soto-Campos & Andriy Kryvko, 2016. "Evidence of Self-Organization in Time Series of Capital Markets," Papers 1604.03996, arXiv.org, revised Mar 2017.
  79. Strozzi, Fernanda & Zaldívar, José-Manuel & Zbilut, Joseph P., 2007. "Recurrence quantification analysis and state space divergence reconstruction for financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 487-499.
  80. B. A. Mello & V. M.C.S. Souza & D. O. Cajueiro & R. F.S. Andrade, 2010. "Network evolution based on minority game with herding behavior," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 76(1), pages 147-156, July.
  81. Campos, Daniel & Méndez, Vicenç & Llebot, Josep E. & Hernández, Germán A., 2010. "Analytical model for minority games with evolutionary learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(12), pages 2397-2407.
  82. Jo~ao Pedro Rodrigues do Carmo, 2018. "Modeling stock markets through the reconstruction of market processes," Papers 1803.06653, arXiv.org.
  83. Gao, Tingting & Chen, Yu, 2017. "A quantum anharmonic oscillator model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 307-314.
  84. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
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