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Analyzing market microstructure with methods of statistical physics

Henao Londoño, Juan Camilo - 2022

Persistent link: https://www.econbiz.de/10013286359

Dynamic behavioural changes in an agent-based econophysics tax compliance model : bomb crater versus target effects and efficient audit strategies

Berger, Wolfram; Hokamp, Sascha; Seibold, Götz - In: Journal of public finance and public choice : JPFPC 36 (2021) 1, pp. 3-24

Persistent link: https://www.econbiz.de/10013172827

Different methodologies and uses of the Hurst exponent in econophysics

Nieves López García, María de las; Ramos-Requena, J. P. - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 2, pp. 107-119

Persistent link: https://www.econbiz.de/10012063553

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

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...

Persistent link: https://www.econbiz.de/10012257370

A multilayer model of order book dynamics

Biondo, Alessio Emanuele; Pluchino, Alessandro; … - In: The journal of network theory in finance 2 (2016) 3, pp. 37-52

Persistent link: https://www.econbiz.de/10011668566

Bubbles, blind-spots and Brexit

Fry, John; Brint, Andrew - In: Risks : open access journal 5 (2017) 3, pp. 1-15

, bookmakers’ odds appear to show none of this bubble-like over-confidence. However, implied probabilities from bookmakers’ odds …

Persistent link: https://www.econbiz.de/10011688252

Predictability and herding of bourse volatility : an econophysics analogue

Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326

Persistent link: https://www.econbiz.de/10012055468

Identifying explosive behavioral trace in the CNX Nifty index : a quantum finance approach

Ghosh, Bikramaditya; Kozarević, Emira - In: Investment management and financial innovations 15 (2018) 1, pp. 208-223

Persistent link: https://www.econbiz.de/10012002800

Dynamisches Spin-Modell für Finanzmärkte mit korrelierten Ertragszeitreihen

Eckrot, Alexander - 2018

Persistent link: https://www.econbiz.de/10012164716

Multifractal analysis of volatility for detection of herding and bubble : evidence from CNX Nifty HFT

Ghosh, Bikramaditya; Kozarević, Emira - In: Investment management and financial innovations 16 (2019) 3, pp. 182-193

Persistent link: https://www.econbiz.de/10012159372