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Financial markets as adaptive systems

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References

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1996SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES318 cited
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2000Scaling and correlation in financial time series143 cited
2008The implied volatility smirk101 cited

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2001Microscopic models for long ranged volatility correlations96 cited

1999Econophysics: can physicists contribute to the science of economics?94 cited

2000Multifractality in time series89 cited

2004A non-Gaussian option pricing model with skew79 cited

1999Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review78 cited

2001More stylized facts of financial markets: leverage effect and downside correlations78 cited

2002Deterministic implied volatility models40 cited

2002Agile Project Management Methods for ERP: How to Apply Agile Processes to Complex COTS Projects and Live to Tell about It39 cited

2001The Leverage Effect in Financial Markets: Retarded Volatility And Market Panic32 cited

2008Nonparametric Option Pricing with No-Arbitrage Constraints31 cited