IDEAS home Printed from https://ideas.repec.org/e/pmc49.html
   My authors  Follow this author

Joseph L. McCauley

Personal Details

First Name:Joseph
Middle Name:L.
Last Name:McCauley
Suffix:
RePEc Short-ID:pmc49
http://www.phys.uh.edu/faculty.php?155622-961-5=jmccaul2

Affiliation

University of Houston Physics Department (University of Houston Physics Department)

http://www.phys.uh.edu/
Houston,Texas

Research output

as
Jump to: Working papers

Working papers

  1. McCauley, Joseph L., 2007. "Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory," MPRA Paper 2128, University Library of Munich, Germany.
  2. McCauley, Joseph L., 2006. "Response to worrying trends in econophysics," MPRA Paper 2129, University Library of Munich, Germany.
  3. Bassler, Kevin E. & McCauley, Joseph L. & Gunaratne, Gemunu H., 2006. "Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets," MPRA Paper 2126, University Library of Munich, Germany.
  4. McCauley, Joseph L. & Küffner, Cornelia M., 2004. "Economic system dynamics," MPRA Paper 2158, University Library of Munich, Germany.
  5. McCauley, Joseph L., 2004. "Making dynamic modelling effective in economics," MPRA Paper 2130, University Library of Munich, Germany.
  6. McCauley, Joseph l., 2004. "Thermodynamic analogies in economics and finance: instability of markets," MPRA Paper 2159, University Library of Munich, Germany.
  7. McCauley, Joseph L. & Gunaratne, Gemunu H., 2003. "On CAPM and Black-Scholes, differing risk-return strategies," MPRA Paper 2162, University Library of Munich, Germany.
  8. J.L. McCauley & G.h. Gunaratne, 2002. "An empirical model of volatility of returns and option pricing," Computing in Economics and Finance 2002 186, Society for Computational Economics.
  9. McCauley, Joseph L., 1999. "The Futility of Utility: how market dynamics marginalize Adam Smith," MPRA Paper 2163, University Library of Munich, Germany.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. McCauley, Joseph L., 2007. "Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory," MPRA Paper 2128, University Library of Munich, Germany.

    Cited by:

    1. McCauley, Joseph L. & Bassler, Kevin E. & Gunaratne, Gemunu H., 2007. "Martingales, Detrending Data, and the Efficient Market Hypothesis," MPRA Paper 2256, University Library of Munich, Germany.
    2. McCauley, Joseph L. & Bassler, Kevin E. & Gunaratne, Gemunu h., 2007. "Martingales, the efficient market hypothesis, and spurious stylized facts," MPRA Paper 5303, University Library of Munich, Germany.

  2. McCauley, Joseph L., 2006. "Response to worrying trends in econophysics," MPRA Paper 2129, University Library of Munich, Germany.

    Cited by:

    1. Christophe Schinckus & Çınla Akdere, 2015. "Towards a New Way of Teaching Statistics in Economics: The Case for Econophysics," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 4(3), pages 89-108, September.
    2. Schinckus, Christophe, 2010. "Is econophysics a new discipline? The neopositivist argument," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3814-3821.
    3. Kakarot-Handtke, Egmont, 2003. "How to Get Rid of Demand–Supply–Equilibrium for Good," MPRA Paper 46917, University Library of Munich, Germany.
    4. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
    5. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters,in: Handbook of Research on Complexity, chapter 9 Edward Elgar Publishing.
    6. Kakarot-Handtke, Egmont, 2013. "Toolism! A Critique of Econophysics," MPRA Paper 46630, University Library of Munich, Germany.
    7. Kakarot-Handtke, Egmont, 2013. "The Structural Price Mechanism," MPRA Paper 50585, University Library of Munich, Germany.
    8. Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW).
    9. Victor Olkhov, 2017. "Econophysics Macroeconomic Model," Papers 1701.06625, arXiv.org.
    10. McCauley, Joseph & Roehner, Bertrand & Stanley, Eugene & Schinckus, Christophe, 2016. "Editorial: The 20th anniversary of econophysics: Where we are and where we are going," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 267-269.
    11. Stavros Drakopoulos & Ioannis Katselidis, 2015. "From Edgeworth to econophysics: a methodological perspective," Journal of Economic Methodology, Taylor & Francis Journals, vol. 22(1), pages 77-95, March.
    12. Elsner, Wolfram, 2016. "Why economics textbooks must, and how they can, be changed into a real-world and pluralist economics. The example of a fundamentally new complexity-economics micro-textbook," MPRA Paper 73097, University Library of Munich, Germany.
    13. Kakarot-Handtke, Egmont, 2014. "Economics for Economists," MPRA Paper 59659, University Library of Munich, Germany.
    14. Marcel Ausloos & Franck Jovanovic & Christophe Schinckus, 2016. "On the "usual" misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis," Papers 1606.02045, arXiv.org.
    15. Shu-Heng Chen & Sai-Ping Li, 2011. "Econophysics: Bridges over a Turbulent Current," Papers 1107.5373, arXiv.org.
    16. E. Scalas & U. Garibaldi & S. Donadio, 2006. "Statistical equilibrium in simple exchange games I," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 53(2), pages 267-272, September.
    17. Jovanovic, Franck & Schinckus, Christophe, 2016. "Breaking down the barriers between econophysics and financial economics," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 256-266.
    18. Kakarot-Handtke, Egmont, 2015. "Essentials of Constructive Heterodoxy: Aggregate Demand," MPRA Paper 62146, University Library of Munich, Germany.
    19. Gajic, Nenad & Budinski-Petkovic, Ljuba, 2013. "Ups and downs of economics and econophysics — Facebook forecast," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 208-214.
    20. Kakarot-Handtke, Egmont, 2015. "Essentials of Constructive Heterodoxy: The Market," MPRA Paper 61236, University Library of Munich, Germany.
    21. Schinckus, Christophe, 2015. "Positivism in finance and its implication for the diversification finance research," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 103-106.
    22. Olkhov, Victor, 2016. "On Economic Space notion," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 372-381.
    23. Kakarot-Handtke, Egmont, 2014. "Onblog Economics Muddle Busting," MPRA Paper 60543, University Library of Munich, Germany.
    24. Kakarot-Handtke, Egmont, 2013. "Understanding Profit and the Markets: The Canonical Model," MPRA Paper 48691, University Library of Munich, Germany.
    25. Christophe Schinckus, 2011. "What can econophysics contribute to financial economics?," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 58(2), pages 147-163, June.
    26. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
    27. Guseo, Renato & Guidolin, Mariangela, 2010. "Cellular Automata with network incubation in information technology diffusion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(12), pages 2422-2433.
    28. Gündüz, Güngör & Gündüz, Yalin, 2016. "A thermodynamical view on asset pricing," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 310-327.
    29. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    30. Schinckus, C., 2013. "Between complexity of modelling and modelling of complexity: An essay on econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3654-3665.

  3. Bassler, Kevin E. & McCauley, Joseph L. & Gunaratne, Gemunu H., 2006. "Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets," MPRA Paper 2126, University Library of Munich, Germany.

    Cited by:

    1. McCauley, Joseph L. & Bassler, Kevin E. & Gunaratne, Gemunu H., 2008. "Martingales, detrending data, and the efficient market hypothesis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 202-216.
    2. McCauley, Joseph L. & Bassler, Kevin E. & Gunaratne, Gemunu H., 2008. "Martingales, nonstationary increments, and the efficient market hypothesis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3916-3920.
    3. Kerry W. Fendick, 2013. "Pricing and Hedging Derivative Securities with Unknown Local Volatilities," Papers 1309.6164, arXiv.org, revised Oct 2013.
    4. Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L., 2008. "Empirically based modeling in financial economics and beyond, and spurious stylized facts," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 767-783, December.
    5. McCauley, Joseph L., 2008. "Nonstationarity of efficient finance markets: FX market evolution from stability to instability," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 820-837, December.
    6. McCauley, Joseph L., 2009. "ARCH and GARCH models vs. martingale volatility of finance market returns," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 151-153, September.
    7. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.

  4. McCauley, Joseph l., 2004. "Thermodynamic analogies in economics and finance: instability of markets," MPRA Paper 2159, University Library of Munich, Germany.

    Cited by:

    1. Wayne, James J., 2014. "Generalized Second Law of Thermodynamics and Its Applications in Social Science," MPRA Paper 59734, University Library of Munich, Germany.
    2. Wayne, James J., 2013. "Fundamental Equation of Economics," MPRA Paper 50695, University Library of Munich, Germany.
    3. Josip Stepanic, 2004. "Social Equivalent of Free Energy," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 2(1), pages 53-60.
    4. Pichl, Lukáš & Kaizoji, Taisei & Yamano, Takuya, 2007. "Stylized facts in internal rates of return on stock index and its derivative transactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 219-227.
    5. Bucsa, G. & Jovanovic, F. & Schinckus, C., 2011. "A unified model for price return distributions used in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3435-3443.
    6. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    7. Schinckus, Christophe, 2008. "The financial simulacrum: The consequences of the symbolization and the computerization of the financial market," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(3), pages 1076-1089, June.

  5. McCauley, Joseph L. & Gunaratne, Gemunu H., 2003. "On CAPM and Black-Scholes, differing risk-return strategies," MPRA Paper 2162, University Library of Munich, Germany.

    Cited by:

    1. Chargoy-Corona, Jesús & Ibarra-Valdez, Carlos, 2006. "A note on Black–Scholes implied volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 681-688.

  6. J.L. McCauley & G.h. Gunaratne, 2002. "An empirical model of volatility of returns and option pricing," Computing in Economics and Finance 2002 186, Society for Computational Economics.

    Cited by:

    1. Giacomo Bormetti & Sofia Cazzaniga, 2011. "Multiplicative noise, fast convolution, and pricing," Papers 1107.1451, arXiv.org.
    2. de Mattos Neto, Paulo S.G. & Silva, David A. & Ferreira, Tiago A.E. & Cavalcanti, George D.C., 2011. "Market volatility modeling for short time window," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3444-3453.
    3. Shi, Leilei, 2006. "Does security transaction volume–price behavior resemble a probability wave?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 419-436.
    4. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2004. "Applications of δ-function perturbation to the pricing of derivative securities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 677-692.
    5. McCauley, Joseph l., 2004. "Thermodynamic analogies in economics and finance: instability of markets," MPRA Paper 2159, University Library of Munich, Germany.
    6. Shu-Heng Chen & Sai-Ping Li, 2011. "Econophysics: Bridges over a Turbulent Current," Papers 1107.5373, arXiv.org.
    7. McCauley, Joseph L., 2003. "Scaling, correlations, and cascades in finance and turbulence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 329(1), pages 213-221.
    8. McCauley, Joseph L., 2003. "Thermodynamic analogies in economics and finance: instability of markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 329(1), pages 199-212.
    9. Bucsa, G. & Jovanovic, F. & Schinckus, C., 2011. "A unified model for price return distributions used in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3435-3443.
    10. Seemann, Lars & Hua, Jia-Chen & McCauley, Joseph L. & Gunaratne, Gemunu H., 2012. "Ensemble vs. time averages in financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6024-6032.
    11. Bassler, Kevin E. & McCauley, Joseph L. & Gunaratne, Gemunu H., 2006. "Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets," MPRA Paper 2126, University Library of Munich, Germany.
    12. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    13. Giacomo Bormetti & Sofia Cazzaniga, 2014. "Multiplicative noise, fast convolution and pricing," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 481-494, March.
    14. Ramos, Antônio M.T. & Carvalho, J.A. & Vasconcelos, G.L., 2016. "Exponential model for option prices: Application to the Brazilian market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 161-168.
    15. Joesph L. McCauley, 2002. "Self-Financing, Replicating Hedging Strategies, an incomplete thermodynamic analogy," Papers cond-mat/0203304, arXiv.org.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (2) 2007-03-17 2007-03-17
  2. NEP-HPE: History & Philosophy of Economics (1) 2007-03-17

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Joseph L. McCauley should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

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

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.