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Scaling in the Norwegian stock market
Skjeltorp, Johannes A - In: Physica A: Statistical Mechanics and its Applications 283 (2000) 3, pp. 486-528
The main objective of this paper is to investigate the validity of the much-used assumptions that stock market returns follow a random walk and are normally distributed. For this purpose the concepts of chaos theory and fractals are applied. Two independent models are used to examine price...
Persistent link: https://www.econbiz.de/10011063911
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The Emergence of Econophysics: A New Approach in Modern Financial Theory
Jovanovic, Franck; Schinckus, Christophe - In: History of Political Economy 45 (2013) 3, pp. 443-474
theory. This new player is econophysics. Econophysics is a very recent movement that is beginning to interest increasing … numbers of financial practitioners. To date, no history of econophysics has been produced. This article aims at filling this … gap. It analyzes the theoretical foundations of econophysics and their connections with the history of financial economics …
Persistent link: https://www.econbiz.de/10010693417
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A Methods Note on the Gauss-Seidel Algorithm for Solving Econometric Models
Heien, Dale; Mathews, Jim; Womack, Abner W. - In: Agricultural Economics Research (1973) 3
which requires no derivatives, matrix inversion, eigenvalue computation, or any other sophisticated numerical methodology …
Persistent link: https://www.econbiz.de/10010919377
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Empirical estimation of consistency parameter in intertemporal choice based on Tsallis’ statistics
Takahashi, Taiki; Oono, Hidemi; Radford, Mark H. B. - 2007
Impulsivity and inconsistency in intertemporal choice have been attracting attention in econophysics and neuroeconomics … choice. Recent studies using Tsallis’ statistics-based econophysics have found a discount function (i.e. q …
Persistent link: https://www.econbiz.de/10009448386
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Empirical analysis of the emerging Brazilian stock market: scaling and volatility
A. A. Perez Jr.; Moser, J. M. P. - Society for Computational Economics - SCE - 2001
We consider the Bovespa economic index (Ibovespa) from January 1994 to the present. Starting directly from this high resolution data we study the statistical properties of the time evolution of the Ibovespa. In order to obtain price dynamics information we find the probability density function...
Persistent link: https://www.econbiz.de/10005706746
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Dynamics of quote and deal prices in the foreign exchange market
Ohnishi, Takaaki; Takayasu, Hideki; Ito, Takatoshi; … - In: Journal of Economic Interaction and Coordination 3 (2008) 1, pp. 99-106
Persistent link: https://www.econbiz.de/10005759601
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MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES
CONLON, T.; RUSKIN, H. J.; CRANE, M. - In: Advances in Complex Systems (ACS) 12 (2009) 04, pp. 439-454
The cross-correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices over different time–scales and then explore the...
Persistent link: https://www.econbiz.de/10008512512
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The international-trade network: gravity equations and topological properties
Fagiolo, Giorgio - In: Journal of Economic Interaction and Coordination 5 (2010) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10008486738
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The Epps effect revisited
Toth, Bence; Kertesz, Janos - In: Quantitative Finance 9 (2009) 7, pp. 793-802
We analyse the dependence of stock return cross-correlations on the data sampling frequency, known as the Epps effect: for high-resolution data the cross-correlations are significantly smaller than their asymptotic value as observed for daily data. The former description implies that a changing...
Persistent link: https://www.econbiz.de/10008466739
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Laser Welfare: First Steps in Econodynamic Engineering
Willis, Geoff - EconWPA - 2004
work in the field of econophysics that draws parallels between income, wealth and energy distributions. Examples of …
Persistent link: https://www.econbiz.de/10005134958