Similar Search Results

From big data to econophysics and its use to explain complex phenomena

Ferreira, Paulo; Pereira, Eder Johnson de Area Leão; … - In: Journal of risk and financial management : JRFM 13 (2020) 7/153, pp. 1-10

paper, we make the linkage between the use of big data and Econophysics, a research field which uses a large amount of data … frameworks to analyze complex phenomena that could be studied using Econophysics and resorting to big data. …

Persistent link: https://www.econbiz.de/10012309347

A finite-time singularity in the dynamics of the US equity market : will the US equity market eventually collapse?

Grobys, Klaus - In: International review of financial analysis 89 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014466245

Different methodologies and uses of the Hurst exponent in econophysics

Nieves López García, María de las; Ramos-Requena, J. P. - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 2, pp. 107-119

Persistent link: https://www.econbiz.de/10012063553

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

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 …

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

Predictability and herding of bourse volatility : an econophysics analogue

Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326

Persistent link: https://www.econbiz.de/10012055468

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

Elliott's wave theory in the field of econophysics and its application to the PSI20 in the context of crisis

Ribeiro, Sandra Cristina Antunes - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 2, pp. 43-61

Persistent link: https://www.econbiz.de/10012062786