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ArticleApplications of statistical mechanics to finance

Rosario N. Mantegna1999

Article1999

Applications of statistical mechanics to finance

Rosario N. Mantegna · Zoltán Palágyi · Eugene Stanley

52 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2007Brownian Motion and Stochastic Calculus 1976Option pricing when underlying stock returns are discontinuous 2012The Econometrics of Financial Markets 1959Portfolio Selection: Efficient Diversification of Investments 1997The Econometrics of Financial Markets 1963The Variation of Certain Speculative Prices

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Year1999

Typearticle

Published1999-12-01

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations52

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0378-4371(99)00395-7

openalex_workW2018015518

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