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Dynamics of markets : the new financial economics
McCauley, Joseph L. - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003825557
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Quantifying and understanding the economics of large financial movements
Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki - In: Journal of economic dynamics & control 32 (2008) 1, pp. 303-319
Persistent link: https://www.econbiz.de/10003622800
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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 suite of models for financial bubbles and crashes. By modifying previous approaches, we are able to derive novel analytical formulae for evaluation problems and for the expected...
Persistent link: https://www.econbiz.de/10010492380
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Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics
Jhun, Jennifer - 2017
We study the Johansen-Ledoit-Sornette (JLS) model of financial market crashes (Johansen, Ledoit, and Sornette [2000,]. “Crashes as Critical Points.” Int. J. Theor. Appl. Finan 3(2) 219- 255). On our view, the JLS model is a curious case from the perspective of the recent philosophy of...
Persistent link: https://www.econbiz.de/10012958632
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Diffusion of defaults among financial institutions
Demange, Gabrielle - In: Econophysics of systemic risk and network dynamics : …, (pp. 3-17). 2013
Persistent link: https://www.econbiz.de/10010211897
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Econophysical bourse volatility : global evidence
Ghosh, Bikramaditya; Krishna Mysore Chidambareswaran - In: Journal of central banking theory and practice 9 (2020) 2, pp. 87-107
Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent bubble in any stock market (bourse) across the geographical boundaries. This study examines forty two bourses (representing same number of countries) for the evidence of the...
Persistent link: https://www.econbiz.de/10012305755
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Negative bubbles and shocks in cryptocurrency markets
Fry, John; Cheah, Eng-Tuck - In: International review of financial analysis 47 (2016), pp. 343-352
Persistent link: https://www.econbiz.de/10011624259
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The Minsky moment as the revenge of entropy
Rosser, John Barkley - In: Macroeconomic dynamics 24 (2020) 1, pp. 7-23
Persistent link: https://www.econbiz.de/10012163564
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The Evolution of Complex Systems Theory and the Advancement of Econophysics Methods in the Study of Stock Markets Crashes
Joe, Ho Yew - 2017
cross-disciplines, particularly from the econophysics have banded together to consolidate and diffuse the application of the … complex systems theory in the economics and further discusses the methodological contribution of the econophysics in the area … of stock market. To date, the complex systems theory and the methodologies from the econophysics are well-established as …
Persistent link: https://www.econbiz.de/10012966774