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Dynamisches Spin-Modell für Finanzmärkte mit korrelierten Ertragszeitreihen
Eckrot, Alexander - 2018
Persistent link: https://www.econbiz.de/10012164716
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When physics became undisciplined : an essay on econophysics
Schinckus, Christophe - 2018
Persistent link: https://www.econbiz.de/10012421041
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Microscopic models of financial markets
Samanidou, Egle; Zschischang, Elmar; Stauffer, Dietrich; … - 2006
This review deals with several microscopic models of financial markets which have been studied by economists and physicists over the last decade: Kim- Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of...
Persistent link: https://www.econbiz.de/10003392155
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Econophysical Models of Finance : Baryonic Beta Dynamics and Beyond
Chen, James Ming - 2017
Econophysics applies the techniques of physics and nonlinear dynamics to complex economic problems. This essay invokes … econophysics in order to introduce a theoretical model that aspires to encompass all essential features of real financial markets …. It summarizes the central argument of my book, Econophysics and Capital Asset Pricing: Splitting the Atom of Systematic …
Persistent link: https://www.econbiz.de/10012944893
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A critical review of the main approaches on financial market dynamics modelling
Pasca, Lucian - In: Journal of heterodox economics : JHE 2 (2015) 2, pp. 151-167
Persistent link: https://www.econbiz.de/10011917353
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A look at financial dependencies by means of econophysics and financial economics
Raddant, M.; Di Matteo, Tiziana - In: Journal of economic interaction and coordination 18 (2023) 4, pp. 701-734
Persistent link: https://www.econbiz.de/10014422588
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Empirical Asset Pricing Via Machine Learning
Gu, Shihao - 2018
We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premia. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based...
Persistent link: https://www.econbiz.de/10012906301
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Empirical Asset Pricing via Machine Learning
Gu, Shihao - 2019
We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premia. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based...
Persistent link: https://www.econbiz.de/10012899608
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Empirical Asset Pricing via Machine Learning
Gu, Shihao - 2018
We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premia. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based...
Persistent link: https://www.econbiz.de/10012481045
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Discontinued Positive Feedback Trading and the Decline in Asset Pricing Factor Profitability
Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang - National Bureau of Economic Research - 2021
We show that a June 2002 reform in Morningstar's mutual fund rating methodology led to substantial drop in the …
Persistent link: https://www.econbiz.de/10012496178