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Statistical physics and economic fluctuations: do outliers exist?
16 references·0 citing·30 second hop
Statistical physics and economic fluctuations: do outliers exist? (2003)Statistical physics and economic fluctuat…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Effect of nonstationarities on detrended fluctuation analysis (2002)Effect of nonstationarities o…Zipf Distribution of U.S. Firm Sizes (2001)Zipf Distribution of U.S. Fir…Effect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…The variation of certain speculative prices (1997)The variation of certain spec…Scaling behaviour in the growth of companies (1996)Scaling behaviour in the grow…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Cours d'économie politique (1964)Cours d'économie politiqueThe Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Cours d'Economie Politique. (1897)Cours d'Economie Politique.Théorie de la spéculation (1900)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Power Laws in Economics and Finance (2009)Detecting long-range correlations with detrended fluctuation analysis (2001)Cross-correlations between volume change and price change (2009)Human behavior and the principle of least effort (1949)Zipf's Law for Cities: An Explanation (1999)A theory of power-law distributions in financial market fluctuations (2003)Railroads and American Economic Growth: A “Market Access” Approach * (2016)Replicating Anomalies (2018)Modern Portfolio Theory and Investment Analysis. (1982)Introduction to Econophysics (1999)Dynamics of market correlations: Taxonomy and portfolio analysis (2003)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Portfolio Selection: Efficient Diversification of Investments. (1962)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pareto-Levy Law and the Distribution of Income (1960)Taxes and Trade in the Roman Empire (200 B.C.–A.D. 400) (1980)A Brief History of Generative Models for Power Law and Lognormal Distributions (2004)
this work references cited by second hop

References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 2001Zipf Distribution of U.S. Firm Sizes1,838 cited
  • 1964Cours d'économie politique1,773 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2002Effect of nonstationarities on detrended fluctuation analysis958 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 1897Cours d'Economie Politique.854 cited
  • 1996Scaling behaviour in the growth of companies783 cited
  • 1999Statistical properties of the volatility of price fluctuations

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