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Power mapping with dynamical adjustment for improved portfolio optimization
Schafer, Rudi; Nilsson, Nils Fredrik; Guhr, Thomas - In: Quantitative Finance 10 (2010) 1, pp. 107-119
For financial risk management it is of vital interest to have good estimates for the correlations between the stocks. It has been found that the correlations obtained from historical data are covered by a considerable amount of noise, which leads to a substantial error in the estimation of the...
Persistent link: https://www.econbiz.de/10008609617
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Analyzing market microstructure with methods of statistical physics
Henao Londoño, Juan Camilo - 2022
Persistent link: https://www.econbiz.de/10013286359
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Risk diversification : a study of persistence with a filtered correlation-network approach
Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana - In: The journal of network theory in finance 1 (2015) 1, pp. 77-98
Persistent link: https://www.econbiz.de/10011374578
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Transfer entropy approach for portfolio optimization : an empirical approach for CESEE markets
Škrinjarić, Tihana; Quintino, Derick; Ferreira, Paulo - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-12
In this paper, we deal with the possibility of using econophysics concepts in dynamic portfolio optimization. The main …
Persistent link: https://www.econbiz.de/10012626748
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Finitary probabilistic methods in econophysics
Garibaldi, Ubaldo; Scalas, Enrico - 2010 - 1. publ.
Persistent link: https://www.econbiz.de/10008648392
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Special issue: Econophysics : applied methods and models motivated by statistical physics and beyond, (pt. 2)
In: Evolutionary and institutional economics review 10 (2013) 2, pp. 295-331
Persistent link: https://www.econbiz.de/10010361157
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Special issue: Econophysics : applied methods and models motivated by statistical physics and beyond, (pt. 1)
In: Evolutionary and institutional economics review 10 (2013) 1, pp. 3-145
Persistent link: https://www.econbiz.de/10010240572
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An empirical study on the statistical properties of Romanian emerging stock market RASDAQ
Gligor, Mircea - In: International journal of theoretical and applied finance 7 (2004) 6, pp. 723-739
Persistent link: https://www.econbiz.de/10002200662
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[Rezension von: Roehner, Bertrand Marie, Patterns of speculation, a study in observational econophysics]
De Bondt, Werner Franciscus Marcel - In: Journal of economic literature 42 (2004) 3, pp. 838-840
Persistent link: https://www.econbiz.de/10002389030
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Patterns of speculation : a study in observational econophysics
Roehner, Bertrand M. - 2002 - 1. publ.
Persistent link: https://www.econbiz.de/10001632826