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On the nonstationarity of the exchange rate process
Ohnishi, Takaaki; Takayasu, Hideki; Itō, Takatoshi; … - 2010
Persistent link: https://www.econbiz.de/10008841895
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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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The optimal hedge ratio in option pricing : the case of exponentially truncated Lévy stable distribution
Busca, Gigel; Haven, Emmanuel E.; Jovanovic, Franck; … - In: Theoretical economics letters 4 (2014) 9, pp. 760-766
Persistent link: https://www.econbiz.de/10010531252
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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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Stochastic modelling for financial bubbles and policy
Fry, John - In: Cogent economics & finance 3 (2015) 1, pp. 1-14
In this paper, we draw upon the close relationship between statistical physics and mathematical finance to develop a …
Persistent link: https://www.econbiz.de/10010492380
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Quantifying reflexivity in financial markets : towards a prediction of flash crashes
Filimonov, Vladimir; Sornette, Didier - 2012
driving. complex systems ; econophysics ; exogenous ; versus endogenous ; high-frequency trading ; criticality ; trading …
Persistent link: https://www.econbiz.de/10009561617
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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