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A practical algorithm to detect superexponential behavior in financial asset price returns

Lynch, Christopher; Mestel, Benjamin - In: International journal of theoretical and applied … 25 (2022) 6, pp. 1-22

Persistent link: https://www.econbiz.de/10014235068

Modeling financial market using percolation theory

Byachkova, Anastasiya; Simonov, Artem - In: Financial econometrics and empirical market microstructure, (pp. 47-53). 2015

Persistent link: https://www.econbiz.de/10011326719

Econophysics of Asset Price, Return and Multiple Expectations

Olkhov, Victor - 2019

This paper describes asset price and return disturbances as result of relations between transactions and multiple kinds of expectations. We show that disturbances of expectations can cause fluctuations of trade volume, price and return. We model price disturbances for transactions made under all...

Persistent link: https://www.econbiz.de/10012894518

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

Baryonic Beta Dynamics : An Econophysical Model of Systematic Risk

Chen, James Ming - 2018

This essay seeks to rehabilitate the capital asset pricing model by splitting beta, the basic unit of systematic risk, into subatomic (or “baryonic”) components. By analogy to quantum chromodynamics and other aspects of the Standard Model of particle physics, this essay bifurcates beta on...

Persistent link: https://www.econbiz.de/10012932305