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In this paper, we deal with the possibility of using econophysics concepts in dynamic portfolio optimization. The main … performance over time. Using data on CESEE stock market indices, we model the dynamics of entropy transfers from one return series …
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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...
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