Narrow search
Showing 1 - 10 of 13,522
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Chaotic structure of the BRIC countries and Turkey's stock market
Günay, Samet - In: International journal of economics and financial issues … 5 (2015) 2, pp. 515-522
Persistent link: https://www.econbiz.de/10011453643
Cover Image
Chaos in G7 stock markets using over one century of data : a note
Tiwari, Aviral Kumar; Gupta, Rangan - In: Research in international business and finance 47 (2019), pp. 304-310
Persistent link: https://www.econbiz.de/10012135738
Cover Image
Chaos in G7 stock markets using over one century of data : a note
Tiwari, Aviral Kumar; Gupta, Rangan; Bekiros, Stelios - In: Research in international business and finance 49 (2019), pp. 315-321
Persistent link: https://www.econbiz.de/10012136036
Cover Image
Dynamics of randomness and efficiency in the Indian stock markets
Kumar, S. Sujeesh; Nandamohan, V. - In: International journal of financial markets and derivatives 6 (2018) 4, pp. 287-320
Persistent link: https://www.econbiz.de/10011996872