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Stock market dynamics and turbulence: parallel analysis of fluctuation phenomena
16 references·12 citing·34 second hop
Stock market dynamics and turbulence: parallel analysis of fluctuation phenomena (1997)Stock market dynamics and turbulence: par…The Economy as an Evolving Complex System II (2018)The Economy as an Evolving Co…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…Turbulence and financial markets (1996)Turbulence and financial mark…Scaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes (1994)The Black-Scholes option pric…Aggregate fluctuations from independent sectoral shocks: self-organized criticality in a model of production and inventory dynamics (1993)Aggregate fluctuations from i…ARCH modeling in finance (1992)ARCH modeling in financeThe economy as an evolving complex system (1991)The economy as an evolving co…Lévy walks and enhanced diffusion in Milan stock exchange (1991)Lévy walks and enhanced diffu…Nonlinear Dynamics and Stock Returns (1989)Nonlinear Dynamics and Stock …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Random Character of Stock Market Prices (1968)The Random Character of Stock…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Investigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange (2019)Investigation of fractal mark…A statistical physics view of financial fluctuations: Evidence for scaling and universality (2008)A statistical physics view of…Long-memory in an order-driven market (2007)Long-memory in an order-drive…Market heterogeneities and the causal structure of volatility (2003)Market heterogeneities and th…Self-organized complexity in economics and finance (2002)Self-organized complexity in …Similarities and differences between physics and economics (2001)Similarities and differences …Scale invariance and universality of economic fluctuations (2000)Scale invariance and universa…Multifractality in time series (2000)Multifractality in time seriesIDENTIFYING THE BOTTOM LINE AFTER A STOCK MARKET CRASH (2000)IDENTIFYING THE BOTTOM LINE A…Econophysics: can physicists contribute to the science of economics? (1999)Econophysics: can physicists …Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes (1998)Modeling of financial data: C…Scaling in currency exchange (1997)Scaling in currency exchangeThe Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Bulls, bears and market sheep (1990)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Théorie de la spéculation (1900)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Power Laws in Economics and Finance (2009)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Optimal rules for ordering uncertain prospects (1975)Hyperbolic Distributions in Finance (1995)Fractional calculus and continuous-time finance (2000)Portfolio Analysis in a Stable Paretian Market (1965)On the Distribution of Stock Price Differences (1967)Rational Theory of Warrant Pricing (2015)When Effect Becomes Cause: Policy Feedback and Political Change (1993)A Postcapitalist Politics (2006)Evolutionary games on graphs (2007)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 2018The Economy as an Evolving Complex System II2,313 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1989Nonlinear Dynamics and Stock Returns778 cited
  • 1991The economy as an evolving complex system750 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • 1996Turbulence and financial markets358 cited
  • 1993Aggregate fluctuations from independent sectoral shocks: self-organized criticality in a model of production and inventory dynamics328 cited
  • 1991Lévy walks and enhanced diffusion in Milan stock exchange193 cited
  • 1994

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The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
169 cited

Cited by

  • 2003Market heterogeneities and the causal structure of volatility114 cited
  • 1997Scaling in currency exchange107 cited
  • 1999Econophysics: can physicists contribute to the science of economics?94 cited
  • 2008A statistical physics view of financial fluctuations: Evidence for scaling and universality92 cited
  • 2000Multifractality in time series89 cited
  • 2001Similarities and differences between physics and economics86 cited
  • 2002Self-organized complexity in economics and finance82 cited
  • 2007Long-memory in an order-driven market70 cited
  • 2000Scale invariance and universality of economic fluctuations64 cited
  • 1998Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes60 cited
  • 2000IDENTIFYING THE BOTTOM LINE AFTER A STOCK MARKET CRASH44 cited
  • 2019Investigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange36 cited