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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 thermodynamical view on asset pricing
Gündüz, Güngör; Gündüz, Yalın - In: International review of financial analysis 47 (2016), pp. 310-327
Persistent link: https://www.econbiz.de/10011624237
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Forecast ranked tailored equity portfolios
Buncic, Daniel; Stern, Cord - In: Journal of international financial markets, … 63 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012263321
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Dynamic equity slope
Breugem, Matthijs; Colonnello, Stefano; Marfè, Roberto; … - 2020
Persistent link: https://www.econbiz.de/10012511757
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Dynamic equity slope
Breugem, Matthijs; Colonello, Stefano; Marfè, Roberto; … - 2020
Persistent link: https://www.econbiz.de/10012498598
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Does macro-asset pricing matter for corporate finance?
Kim, Yongjin; Routledge, Bryan R. - In: Critical finance review 13 (2024) 1/2, pp. 45-82
Persistent link: https://www.econbiz.de/10014508024
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General equilibrium with multiple liquid assets
Altermatt, Lukas; Iwasaki, Kohei; Wright, Randall D. - In: Review of economic dynamics 51 (2023), pp. 267-291
Persistent link: https://www.econbiz.de/10014471832
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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
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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
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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