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Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness
7 references·6 citing·39 second hop
Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness (1998)Dynamic numerical models of stock market …Scaling Behavior in Economics: I. Empirical Results for Company Growth (1997)Scaling Behavior in Economics…Convergent Multiplicative Processes Repelled from Zero: Power Laws and Truncated Power Laws (1997)Convergent Multiplicative Pro…Scaling behaviour in the growth of companies (1996)Scaling behaviour in the grow…Critical behaviors and 1/Φ noise in information traffic (1996)Critical behaviors and 1/Φ no…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Statistical properties of deterministic threshold elements — the case of market price (1992)Statistical properties of det…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets (2006)Importance of positive feedba…Multifractal features of financial markets (2004)Multifractal features of fina…Scaling characteristics in the Taiwan stock market (2003)Scaling characteristics in th…Stochastic resonance as a model for financial market crashes and bubbles (2002)Stochastic resonance as a mod…Mean-field approximation for a limit order driven market model (2001)Mean-field approximation for …An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…A Rational Route to Randomness (1997)Generic multifractality in exponentials of long memory processes (2006)Multifractality and herding behavior in the Japanese stock market (2007)Bubbles and Crashes (2010)The Nature of the Firm (1937)A Behavioral Theory of the Firm (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Zipf Distribution of U.S. Firm Sizes (2001)The Size, Scale, and Shape of Cities (2008)The Granular Origins of Aggregate Fluctuations (2011)Lévy walks and enhanced diffusion in Milan stock exchange (1991)Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins (2002)Market force, ecology and evolution (2002)The Behavior of Stock-Market Prices (1965)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)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes (1989)Zipf's Law for Cities: An Explanation (1999)Power laws, Pareto distributions and Zipf's law (2005)The Structure and Dynamics of Cities (2016)The psychology of social impact. (1981)Stochastic cellular automata model for stock market dynamics (2004)A threshold model of investor psychology (2005)Intraday price dynamics in spot and derivatives markets (2013)A Behavioral Theory of the Firm (1963)Industrial Market Structure and Economic Performance. (1971)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Dynamic phase transition observed in the Internet traffic flow (2000)Heuristic segmentation of a nonstationary time series (2004)On 1/f Noise (2012)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)
this work references cited by second hop

References

  • 1963The Variation of Certain Speculative Prices4,890 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1996Scaling behaviour in the growth of companies783 cited
  • 1997Convergent Multiplicative Processes Repelled from Zero: Power Laws and Truncated Power Laws249 cited
  • 1997Scaling Behavior in Economics: I. Empirical Results for Company Growth248 cited
  • 1996Critical behaviors and 1/Φ noise in information traffic132 cited
  • 1992Statistical properties of deterministic threshold elements — the case of market price118 cited

Cited by

  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,398 cited
  • 2006Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets103 cited
  • 2002Stochastic resonance as a model for financial market crashes and bubbles69 cited
  • 2001Mean-field approximation for a limit order driven market model61 cited
  • 2004Multifractal features of financial markets56 cited
  • 2003Scaling characteristics in the Taiwan stock market47 cited

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