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PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS
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PERCOLATION MODELS OF FINANCIAL MARKET DYNAMICS (2001)PERCOLATION MODELS OF FINANCIAL MARKET DY…HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS (2000)HERD BEHAVIOR AND AGGREGATE F…Toward a theory of marginally efficient markets (1999)Toward a theory of marginally…Self-organized percolation model for stock market fluctuations (1999)Self-organized percolation mo…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING (1999)MONTE CARLO SIMULATION OF VOL…A generalized spin model of financial markets (1999)A generalized spin model of f…Crossover in the Cont–Bouchaud percolation model for market fluctuations (1998)Crossover in the Cont–Bouchau…The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)The stable Paretian hypothesi…Investment rules, margin, and market volatility (1989)Investment rules, margin, and…Public Regulation of the Securities Markets (1964)Public Regulation of the Secu…Théorie de la spéculation (1900)At Home in the Universe (1994)Stretched exponential distributions in nature and economy: “fat tails” with characteristic scales (1998)On return-volatility correlation in financial dynamics (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)More statistical properties of order books and price impact (2003)Agent-based models of financial markets (2007)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)The Variation of Certain Speculative Prices (1963)Herd Behaviour, Bubbles and Crashes (1995)The variation of certain speculative prices (1997)Statistical properties of stock order books: empirical results and models (2002)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)The Econometrics of Financial Markets (1997)Physicists attempt to scale the ivory towers of finance (1999)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Oscillatory finite-time singularities in finance, population and rupture (2002)The Econometrics of Financial Markets (2012)Financial power laws: Empirical evidence, models, and mechanisms (2016)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Scaling of the distribution of price fluctuations of individual companies (1999)Institutional Investors and Stock Market Volatility (2006)Cross-correlations between volume change and price change (2009)A builder's guide to agent-based financial markets (2001)EXPECTATION BUBBLES IN A SPIN MODEL OF MARKETS: INTERMITTENCY FROM FRUSTRATION ACROSS SCALES (2001)Leverage causes fat tails and clustered volatility (2012)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)The New Issues Puzzle (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Econophysics: Can physicists contribute to the science of economics? (1999)Scaling and correlation in financial time series (2000)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Chapter 24 Agent-based Computational Finance (2006)Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002)Volatility clustering and long memory of financial time series and financial price model (2012)
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References

  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 2000HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS827 cited
  • 1964Public Regulation of the Securities Markets679 cited
  • 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks400 cited
  • 1999Toward a theory of marginally efficient markets193 cited
  • 1999Self-organized percolation model for stock market fluctuations180 cited
  • 1999A generalized spin model of financial markets157 cited
  • 1998Crossover in the Cont–Bouchaud percolation model for market fluctuations146 cited
  • 1989Investment rules, margin, and market volatility142 cited
  • 1999MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING65 cited

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