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ArticleStatistical mechanics of nonlinear nonequilibrium financial markets

Lester Ingber1984

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Articlebronze1984

Statistical mechanics of nonlinear nonequilibrium financial markets

68 citations·0/0 files stored·Mathematical Modelling

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Complex Systems and Time Series Analysis Stochastic processes and financial applications Statistical Mechanics and Entropy

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1973The Pricing of Options and Corporate Liabilities 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1973An Intertemporal Capital Asset Pricing Model 1979Option pricing: A simplified approach 1971Optimum consumption and portfolio rules in a continuous-time model 1976Option pricing when underlying stock returns are discontinuous

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1999High-Resolution Path-Integral Development of Financial Options 2019Developing Bid-Ask Probabilities for High-Frequency Trading

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Details

Year1984

Typearticle

Published1984-01-01

VenueMathematical Modelling

ISSN-L0270-0255

Languageen

Citations68

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/0270-0255(84)90022-8

openalex_workW2003424691

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