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Controlling complexity in spatial modelling

Paelinck, Jean H. P. - 2000

The present complexity approach is based on two assumptions: A1: measurability of deviations of outcomes with respect to reference values; A2 : extension of A1 to multi-set analysis. Complexity is then defined in terms of multi-set deviation compared to single-set ones; an interpretation is...

Persistent link: https://www.econbiz.de/10009781643

Analysing rational bubbles in African stock markets : evidence from econophysics frequency domain estimates and DCC MGARCH model

Lawal, Adedoyin Isola; Oseni, Ezeikel; Ahmed, Adel; … - In: Economies : open access journal 12 (2024) 8, pp. 1-22

. Utilizing newly developed econophysics-based unit root tests and the Dynamic Conditional Correlation Multivariate Generalized …

Persistent link: https://www.econbiz.de/10015071029

A new analytical model for the analysis of economic processes

Di Sia, Paolo - In: Theoretical economics letters 3 (2013) 4, pp. 245-250

Persistent link: https://www.econbiz.de/10010239646

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - In: The European journal of finance 28 (2022) 13/15, pp. 1263-1282

Persistent link: https://www.econbiz.de/10013532181

Theoretical and experimental evidence on stock market volatilities : a two-phase flow model

Wang, Limin; Xu, Yingying; Salem, Sultan - In: Economic research 34 (2021) 1,3, pp. 3245-3269

Persistent link: https://www.econbiz.de/10014233517

Transfer entropy approach for portfolio optimization : an empirical approach for CESEE markets

Škrinjarić, Tihana; Quintino, Derick; Ferreira, Paulo - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-12

In this paper, we deal with the possibility of using econophysics concepts in dynamic portfolio optimization. The main … performance over time. Using data on CESEE stock market indices, we model the dynamics of entropy transfers from one return series …

Persistent link: https://www.econbiz.de/10012626748

Evidence of intraday multifractality in European stock markets during the recent coronavirus (covid-19) outbreak

Aslam, Faheem; Mohti, Wahbeeah; Ferreira, Paulo - In: International Journal of Financial Studies : open … 8 (2020) 2/31, pp. 1-13

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...

Persistent link: https://www.econbiz.de/10012239424

Multifractal analysis of volatility for detection of herding and bubble : evidence from CNX Nifty HFT

Ghosh, Bikramaditya; Kozarević, Emira - In: Investment management and financial innovations 16 (2019) 3, pp. 182-193

Persistent link: https://www.econbiz.de/10012159372

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...

Persistent link: https://www.econbiz.de/10012257370

Essentials of econophysics modelling

Slanina, František - 2014 - 1. ed.

covers the discipline of econophysics, which creates an interface between physics and economics. Besides the main theme, it …, imitation, herding, and the gem of econophysics, the so-called minority game. At the same time, many other models view the …

Persistent link: https://www.econbiz.de/10010212954