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Physics-inspired analysis of the two-class income distribution in the USA in 1983-2018
Yakovenko, Victor M.; Ludwig, Danial - 2023
Persistent link: https://www.econbiz.de/10014317167
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas (contributor) - 2008
current of behavioral finance. However, their design is closer in spirit to models of multi-particle interaction in physics … various implementations, and its contribution to an explanation of the stylized facts in finance. -- Agent-based models …
Persistent link: https://www.econbiz.de/10003715066
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Stochastic behavioral asset-pricing models and the stylized facts
Lux, Thomas - In: Handbook of financial markets : dynamics and evolution, (pp. 161-215). 2009
Persistent link: https://www.econbiz.de/10003820630
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 2008
Persistent link: https://www.econbiz.de/10008856295
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On the nonstationarity of the exchange rate process
Ohnishi, Takaaki; Takayasu, Hideki; Itō, Takatoshi; … - In: International review of financial analysis 23 (2012), pp. 30-34
Persistent link: https://www.econbiz.de/10009690133
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Volatility models : from GARCH to multi-horizon cascades
Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - 2011
Persistent link: https://www.econbiz.de/10009716088
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Volatility models : from GARCH to multi-horizon cascades
Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - In: Financial markets and the global recession, (pp. 103-159). 2010
Persistent link: https://www.econbiz.de/10009614252
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas (contributor) - 2008
current of behavioural finance. However, their design is closer in spirit to models of multi-particle interaction in physics … various implementations, and its contribution to an explanation of the stylized facts in finance. …
Persistent link: https://www.econbiz.de/10003721495
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Stochastic processes : from physics to finance
Paul, Wolfgang; Baschnagel, Jörg - 1999
Persistent link: https://www.econbiz.de/10001421520
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Volatility Models : From GARCH to Multi-Horizon Cascades
Subbotin, Alexander - 2009
We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of observation. The adequacy of different...
Persistent link: https://www.econbiz.de/10013158884