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We apply an asymmetric version of Kirman's herding model to volatile financial markets. In the relation between returns and agent concentration we use the square root law proposed by Zhang. This can be derived by extending the idea of a critical mean field theory suggested by Plerou et al. We...
Persistent link: https://www.econbiz.de/10010873069
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 …
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, economists, mathematicians and financial engineers working in the field of "Econophysics, who have undertaken the task of …
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Mit der Finanzkrise ist auch die klassische ökonomische Theoriebildung in eine Krise geraten: In effizienten Märkten sollte es eigentlich keine Asset-Blasen und Börsencrashs geben. Als interdisziplinärer Ansatz der Wirtschaftswissenschaften und der Physik besteht der Anspruch der...
Persistent link: https://www.econbiz.de/10014425139
This book concerns the use of concepts from statistical physics in the description of financial systems. These concepts are applied to financial time series to gain an understanding of the behavior of financial markets. The book will be of interest to physicists and economists and professionals...
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We introduce an autoregressive-type model of prices in the financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible for the slow diffusion in short times, apparent...
Persistent link: https://www.econbiz.de/10010589475