Advanced Search
MyIDEAS: Login

Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models

Contents:

Author Info

  • D. Sornette

    (ETH Zurich)

Registered author(s):

    Abstract

    This short review presents a selected history of the mutual fertilization between physics and economics, from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives embraced in theories developed in financial economics compared with physics are dissected with the examples of the volatility smile and of the excess volatility puzzle. The role of the Ising model of phase transitions to model social and financial systems is reviewed, with the concepts of random utilities and the logit model as the analog of the Boltzmann factor in statistic physics. Recent extensions in term of quantum decision theory are also covered. A wealth of models are discussed briefly that build on the Ising model and generalize it to account for the many stylized facts of financial markets. A summary of the relevance of the Ising model and its extensions is provided to account for financial bubbles and crashes. The review would be incomplete if it would not cover the dynamical field of agent based models (ABMs), also known as computational economic models, of which the Ising-type models are just special ABM implementations. We formulate the ``Emerging Market Intelligence hypothesis'' to reconcile the pervasive presence of ``noise traders'' with the near efficiency of financial markets. Finally, we note that evolutionary biology, more than physics, is now playing a growing role to inspire models of financial markets.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://arxiv.org/pdf/1404.0243
    File Function: Latest version
    Download Restriction: no

    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1404.0243.

    as in new window
    Length:
    Date of creation: Apr 2014
    Date of revision:
    Handle: RePEc:arx:papers:1404.0243

    Contact details of provider:
    Web page: http://arxiv.org/

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. C. Biely & R. Hanel & S. Thurner, 2009. "Socio-economical dynamics as a solvable spin system on co-evolving networks," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 67(3), pages 285-289, February.
    2. Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
    3. J. Doyne Farmer & Shareen Joshi, 2000. "The Price Dynamics of Common Trading Strategies," Working Papers 00-12-069, Santa Fe Institute.
    4. Orlean, Andre, 1995. "Bayesian interactions and collective dynamics of opinion: Herd behavior and mimetic contagion," Journal of Economic Behavior & Organization, Elsevier, vol. 28(2), pages 257-274, October.
    5. Bawa, Vijay S & Elton, Edwin J & Gruber, Martin J, 1979. "Simple Rules for Optimal Portfolio Selection in Stable Paretian Markets," Journal of Finance, American Finance Association, vol. 34(4), pages 1041-47, September.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    7. Wyart, Matthieu & Bouchaud, Jean-Philippe, 2007. "Self-referential behaviour, overreaction and conventions in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 1-24, May.
    8. Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," FAME Research Paper Series rp163, International Center for Financial Asset Management and Engineering.
    9. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    10. Zhi-Feng Huang & Sorin Solomon, 2001. "Stochastic Multiplicative Processes for Financial Markets," Papers cond-mat/0110273, arXiv.org.
    11. Yukalov, V.I. & Sornette, D. & Yukalova, E.P., 2009. "Nonlinear dynamical model of regime switching between conventions and business cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 206-230, May.
    12. Thomas Lux & Didier Sornette, 1999. "On Rational Bubbles and Fat Tails," Discussion Paper Serie B 458, University of Bonn, Germany.
    13. Sushil Bikhchandani & David Hirshleifer & Ivo Welch, 2010. "A theory of Fads, Fashion, Custom and cultural change as informational Cascades," Levine's Working Paper Archive 1193, David K. Levine.
    14. William A. Brock & Steven N. Durlauf, 1997. "A Formal Model of Theory Choice in Science," Research in Economics 97-04-031e, Santa Fe Institute.
    15. P. Sieczka & D. Sornette & J. Holyst, 2011. "The Lehman Brothers effect and bankruptcy cascades," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 82(3), pages 257-269, August.
    16. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521766555, October.
    17. Kaizoji, Taisei, 2000. "Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 493-506.
    18. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
    19. D. Sornette, 2000. "Stock Market Speculation: Spontaneous Symmetry Breaking of Economic Valuation," Papers cond-mat/0004001, arXiv.org.
    20. Gur Huberman & Werner Stanzl, 2004. "Price Manipulation and Quasi-Arbitrage," Econometrica, Econometric Society, vol. 72(4), pages 1247-1275, 07.
    21. C. H. Hommes, 2001. "Financial markets as nonlinear adaptive evolutionary systems," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 149-167.
    22. John Duffy & Ed Hopkins, 2010. "Learning, Information and Sorting in Market Entry Games: Theory and Evidence," Levine's Working Paper Archive 506439000000000355, David K. Levine.
    23. Brock,W.A. & Durlauf,S.N., 2000. "Discrete choice with social interactions," Working papers 7, Wisconsin Madison - Social Systems.
    24. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
    25. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
    26. A. Johansen & D. Sornette, 1998. "Stock market crashes are outliers," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 1(2), pages 141-143, January.
    27. Samuelson, Paul A., 1967. "Efficient Portfolio Selection for Pareto-Lévy Investments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(02), pages 107-122, June.
    28. Georges Harras & Claudio J. Tessone & Didier Sornette, . "Disorder-induced volatility of collective dynamics," Working Papers CCSS-10-001, ETH Zurich, Chair of Systems Design.
    29. J-F. Muzy & D. Sornette & J. delour & A. Arneodo, 2001. "Multifractal returns and hierarchical portfolio theory," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 131-148.
    30. Donald MacKenzie, 2006. "An Engine, Not a Camera: How Financial Models Shape Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262134608, December.
    31. Culter, D.M. & Poterba, J.M. & Summers, L.H., 1990. "Speculative Dynamics And The Role Of Feedback Traders," Working papers 545, Massachusetts Institute of Technology (MIT), Department of Economics.
    32. John Geanakoplos & Robert Axtell & J. Doyne Farmer & Peter Howitt & Benjamin Conlee & Jonathan Goldstein & Matthew Hendrey & Nathan M. Palmer & Chun-Yi Yang, 2012. "Getting at Systemic Risk via an Agent-Based Model of the Housing Market," American Economic Review, American Economic Association, vol. 102(3), pages 53-58, May.
    33. B. M. Roehner & D. Sornette, 2000. ""Thermometers" of Speculative Frenzy," Papers cond-mat/0001353, arXiv.org.
    34. Paul A. Samuelson, 1973. "Proof That Properly Discounted Present Values of Assets Vibrate Randomly," Bell Journal of Economics, The RAND Corporation, vol. 4(2), pages 369-374, Autumn.
    35. Jegadeesh, Narasimhan, 1990. " Evidence of Predictable Behavior of Security Returns," Journal of Finance, American Finance Association, vol. 45(3), pages 881-98, July.
    36. Grabowski, A. & Kosiński, R.A., 2006. "Ising-based model of opinion formation in a complex network of interpersonal interactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 361(2), pages 651-664.
    37. Vladimir Filimonov & Didier Sornette, 2012. "Quantifying reflexivity in financial markets: towards a prediction of flash crashes," Papers 1201.3572, arXiv.org, revised Apr 2012.
    38. Hart, Michael L. & Jefferies, Paul & Johnson, Neil F., 2002. "Dynamics of the time horizon minority game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 311(1), pages 275-290.
    39. D. Sornette, 2008. "Nurturing breakthroughs: lessons from complexity theory," Journal of Economic Interaction and Coordination, Springer, vol. 3(2), pages 165-181, December.
    40. Pasquale Cirillo & Carlo Bianchi & Mauro Gallegati & Pietro Vagliasindi, 2006. "Validating and Calibrating Agent-based Models: a Case Study," Computing in Economics and Finance 2006 277, Society for Computational Economics.
    41. Q. Michard & J.-P. Bouchaud, 2005. "Theory of collective opinion shifts: from smooth trends to abrupt swings," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 47(1), pages 151-159, 09.
    42. Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
    43. Y. Malevergne & A. Saichev & D. Sornette, 2010. "Zipf's law and maximum sustainable growth," Papers 1012.0199, arXiv.org.
    44. Jean-Philippe Bouchaud & Didier Sornette, 1994. "The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes," Science & Finance (CFM) working paper archive 500040, Science & Finance, Capital Fund Management.
    45. K. Ronnie Sircar & George Papanicolaou, 1998. "General Black-Scholes models accounting for increased market volatility from hedging strategies," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 45-82.
    46. Cars H. Hommes, 2001. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," Tinbergen Institute Discussion Papers 01-014/1, Tinbergen Institute.
    47. A. I. Saichev & D. Sornette, 2010. "Generation-by-generation dissection of the response function in long memory epidemic processes," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 75(3), pages 343-355, June.
    48. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
    49. Kirman, Alan, 1993. "Ants, Rationality, and Recruitment," The Quarterly Journal of Economics, MIT Press, vol. 108(1), pages 137-56, February.
    50. Sornette, Didier, 2000. "Stock market speculation: Spontaneous symmetry breaking of economic valuation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 355-375.
    51. Richard B. FREEMAN, 2010. "It's financialization!," International Labour Review, International Labour Organization, vol. 149(2), pages 163-183, 06.
    52. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.
    53. J. Doyne Farmer, 2002. "Market force, ecology and evolution," Industrial and Corporate Change, Oxford University Press, vol. 11(5), pages 895-953, November.
    54. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
    55. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    56. Paul Windrum & Giorgio Fagiolo & Alessio Moneta, 2007. "Empirical Validation of Agent-Based Models: Alternatives and Prospects," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 10(2), pages 8.
    57. Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola, 2011. "A computational view of market efficiency," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1043-1050.
    58. Jean-Philippe Bouchaud & Rama Cont, 1998. "A Langevin approach to stock market fluctuations and crashes," Science & Finance (CFM) working paper archive 500027, Science & Finance, Capital Fund Management.
    59. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
    60. Didier Sornette & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou, 2011. "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model," Papers 1107.3171, arXiv.org, revised Jun 2013.
    61. Philipp Weber & Bernd Rosenow, 2006. "Large stock price changes: volume or liquidity?," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 7-14.
    62. J. Doyne Farmer & Laszlo Gillemot & Fabrizio Lillo & Szabolcs Mike & Anindya Sen, 2004. "What really causes large price changes?," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 383-397.
    63. A. Saichev & D. Sornette, 2006. "Power law distribution of seismic rates: theory and data analysis," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 49(3), pages 377-401, 02.
    64. Stephen Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud, 2013. "Critical reflexivity in financial markets: a Hawkes process analysis," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 86(10), pages 1-9, October.
    65. Follmer, Hans, 1974. "Random economies with many interacting agents," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 51-62, March.
    66. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    67. Ellen, Saskia ter & Zwinkels, Remco C.J., 2010. "Oil price dynamics: A behavioral finance approach with heterogeneous agents," Energy Economics, Elsevier, vol. 32(6), pages 1427-1434, November.
    68. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
    69. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    70. Pawe{\l} Sieczka & Didier Sornette & Janusz A. Ho{\l}yst, 2010. "The Lehman Brothers Effect and Bankruptcy Cascades," Papers 1002.1070, arXiv.org, revised Sep 2011.
    71. Jean-Pierre Nadal & Denis Phan & Mirta Gordon & Jean Vannimenus, 2005. "Multiple equilibria in a monopoly market with heterogeneous agents and externalities," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 557-568.
    72. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    73. J. B. Satinover & D. Sornette, 2009. "Illusory versus genuine control in agent-based games," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 67(3), pages 357-367, February.
    74. Jiang, Zhi-Qiang & Zhou, Wei-Xing & Sornette, Didier & Woodard, Ryan & Bastiaensen, Ken & Cauwels, Peter, 2010. "Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 149-162, June.
    75. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    76. Mirta B. Gordon & Jean-Pierre Nadal & Denis Phan & Viktoriya Semeshenko, 2007. "Discrete Choices under Social Influence: Generic Properties," Working Papers halshs-00135405, HAL.
    77. Didier SORNETTE, . "Dragon-Kings, Black Swans and the Prediction of Crises," Swiss Finance Institute Research Paper Series 09-36, Swiss Finance Institute.
    78. Stauffer, Dietrich & Sornette, Didier, 1999. "Self-organized percolation model for stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 271(3), pages 496-506.
    79. Paul Milgrom & Nancy L.Stokey, 1979. "Information, Trade, and Common Knowledge," Discussion Papers 377R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    80. Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation for Research in Economics, Yale University.
    81. A. Arnéodo & J.-F. Muzy & D. Sornette, 1998. "”Direct” causal cascade in the stock market," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 2(2), pages 277-282, March.
    82. Y. Malevergne & D. Sornette, 2001. "Multi-dimensional rational bubbles and fat tails," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 533-541.
    83. Georges Harras & Didier Sornette, 2008. "How to grow a bubble: A model of myopic adapting agents," Papers 0806.2989, arXiv.org, revised Nov 2010.
    84. Quentin Michard & Jean-Philippe Bouchaud, 2005. "Theory of collective opinion shifts: from smooth trends to abrupt swings," Science & Finance (CFM) working paper archive 500060, Science & Finance, Capital Fund Management.
    85. Sornette, Didier & Woodard, Ryan & Zhou, Wei-Xing, 2009. "The 2006–2008 oil bubble: Evidence of speculation, and prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1571-1576.
    86. J-P. Bouchaud, 2001. "Power laws in economics and finance: some ideas from physics," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 105-112.
    87. Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.
    88. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    89. Galam, Serge, 2004. "Sociophysics: a personal testimony," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 49-55.
    90. Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
    91. Christopher J. Neely & Paul A. Weller & Joshua M. Ulrich, 2007. "The adaptive markets hypothesis: evidence from the foreign exchange market," Working Papers 2006-046, Federal Reserve Bank of St. Louis.
    92. Gatti, Domenico Delli & Guilmi, Corrado Di & Gaffeo, Edoardo & Giulioni, Gianfranco & Gallegati, Mauro & Palestrini, Antonio, 2005. "A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility," Journal of Economic Behavior & Organization, Elsevier, vol. 56(4), pages 489-512, April.
    93. A. Christian Silva & Richard E. Prange & Victor M. Yakovenko, 2004. "Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact," Papers cond-mat/0401225, arXiv.org, revised Jul 2004.
    94. Paul Grauwe, 2010. "The scientific foundation of dynamic stochastic general equilibrium (DSGE) models," Public Choice, Springer, vol. 144(3), pages 413-443, September.
    95. Kent Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 1998. "Investor Psychology and Security Market Under- and Overreactions," Journal of Finance, American Finance Association, vol. 53(6), pages 1839-1885, December.
    96. Huang, Zhi-Feng & Solomon, Sorin, 2002. "Stochastic multiplicative processes for financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 306(C), pages 412-422.
    97. Alan Kirman, 2012. "Can Artificial Economies Help us Understand Real Economies?," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 15-41.
    98. Silva, A. Christian & Prange, Richard E. & Yakovenko, Victor M., 2004. "Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 227-235.
    99. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    100. Gisler, Monika & Sornette, Didier & Woodard, Ryan, 2011. "Innovation as a social bubble: The example of the Human Genome Project," Research Policy, Elsevier, vol. 40(10), pages 1412-1425.
    101. Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud, 2011. "Anomalous price impact and the critical nature of liquidity in financial markets," Papers 1105.1694, arXiv.org, revised Nov 2011.
    102. Scheinkman, Jose A & Woodford, Michael, 1994. "Self-Organized Criticality and Economic Fluctuations," American Economic Review, American Economic Association, vol. 84(2), pages 417-21, May.
    103. D. Horvath & Z. Kuscsik, 2007. "Structurally dynamic spin market networks," Papers physics/0701156, arXiv.org, revised Mar 2007.
    104. Armand Joulin & Augustin Lefevre & Daniel Grunberg & Jean-Philippe Bouchaud, 2008. "Stock price jumps: news and volume play a minor role," Papers 0803.1769, arXiv.org.
    105. Ofer Malcai & Ofer Biham & Peter Richmond & Sorin Solomon, 2002. "Theoretical Analysis and Simulations of the Generalized Lotka-Volterra Model," Papers cond-mat/0208514, arXiv.org.
    106. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-74, May.
    107. Stephen J. Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud, 2013. "Critical reflexivity in financial markets: a Hawkes process analysis," Papers 1302.1405, arXiv.org, revised Jun 2013.
    108. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
    109. Challet, Damien & Zhang, Yi-Cheng, 1998. "On the minority game: Analytical and numerical studies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(3), pages 514-532.
    110. Eugene F. Fama & Kenneth R. French, 2010. "Luck versus Skill in the Cross-Section of Mutual Fund Returns," Journal of Finance, American Finance Association, vol. 65(5), pages 1915-1947, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:arx:papers:1404.0243. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.