Financial markets as adaptative systems
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References listed on IDEAS
- Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997.
"Scaling in stock market data: stable laws and beyond,"
Science & Finance (CFM) working paper archive
9705087, Science & Finance, Capital Fund Management.
- Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Papers cond-mat/9705087, arXiv.org.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.
- S. M. Duarte Queiros, 2005. "On non-Gaussianity and dependence in financial time series: a nonextensive approach," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 475-487.
- Yuji Yamada & James Primbs, 2004. "Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 335-365, September.
- Eric Benhamou, 2002. "Option pricing with Levy Process," Finance 0212006, EconWPA.
- Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, EconWPA.
- Mantegna, Rosario N. & Stanley, H.Eugene, 1998.
"Modeling of financial data: Comparison of the truncated Lévy flight and the ARCH(1) and GARCH(1,1) processes,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 254(1), pages 77-84.
- Rosario N. Mantegna & H. Eugene Stanley, 1998. "Modeling of Financial Data: Comparison of the Truncated L\'evy Flight and the ARCH(1) and GARCH(1,1) processes," Papers cond-mat/9804126, arXiv.org.
- Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005. "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Science & Finance (CFM) working paper archive 500061, Science & Finance, Capital Fund Management.
- Birke, Melanie & Pilz, Kay F., 2007. "Nonparametric option pricing with no-arbitrage constraints," Technical Reports 2007,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Rama Cont, 1997. "Scaling and correlation in financial data," Papers cond-mat/9705075, arXiv.org, revised May 1997.
More about this item
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-13 (All new papers)
- NEP-FIN-2005-02-13 (Finance)
- NEP-FMK-2005-02-13 (Financial Markets)
- NEP-HPE-2005-02-13 (History & Philosophy of Economics)
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