IDEAS home Printed from https://ideas.repec.org/r/arx/papers/1404.0243.html
   My bibliography  Save this item

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

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Stefan Bornholdt, 2021. "A q-spin Potts model of markets: Gain-loss asymmetry in stock indices as an emergent phenomenon," Papers 2112.06290, arXiv.org.
  2. Poitras, Geoffrey, 2018. "The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 89-98.
  3. Yue Chen & Xiaojian Niu & Yan Zhang, 2019. "Exploring Contrarian Degree in the Trading Behavior of China's Stock Market," Complexity, Hindawi, vol. 2019, pages 1-12, April.
  4. Jovanovic, Franck & Mantegna, Rosario N. & Schinckus, Christophe, 2019. "When financial economics influences physics: The role of Econophysics," International Review of Financial Analysis, Elsevier, vol. 65(C).
  5. Wenzhi Zheng & Yuting Lou & Yu Chen, 2019. "On the Unsustainable Macroeconomy with Increasing Inequality of Firms Induced by Excessive Liquidity," Sustainability, MDPI, vol. 11(11), pages 1-22, May.
  6. Damien Challet, 2016. "Regrets, learning and wisdom," Papers 1605.01052, arXiv.org.
  7. T. T. Chen & B. Zheng & Y. Li & X. F. Jiang, 2017. "New approaches in agent-based modeling of complex financial systems," Papers 1703.06840, arXiv.org.
  8. Schmidhuber, Christof, 2021. "Trends, reversion, and critical phenomena in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  9. Rutledge, John, 2015. "Economics as energy framework: Complexity, turbulence, financial crises, and protectionism," Review of Financial Economics, Elsevier, vol. 25(C), pages 10-18.
  10. Matthew Oldham, 2018. "How fast to run in the Red Queen race?," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 25(1), pages 28-43, January.
  11. Kristoufek, Ladislav & Vošvrda, Miloslav S., 2016. "Herding, minority game, market clearing and efficient markets in a simple spin model framework," FinMaP-Working Papers 68, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  12. Carlo Campajola & Fabrizio Lillo & Daniele Tantari, 2019. "Unveiling the relation between herding and liquidity with trader lead-lag networks," Papers 1909.10807, arXiv.org, revised Mar 2020.
  13. Lucas Fievet & Didier Sornette, 2018. "Calibrating emergent phenomena in stock markets with agent based models," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-17, March.
  14. Robert Gk{e}barowski & Stanis{l}aw Dro.zd.z & Andrzej Z. G'orski & Pawe{l} O'swik{e}cimka, 2014. "Competition of Commodities for the Status of Money in an Agent-based Model," Papers 1412.2124, arXiv.org.
  15. Barrio, Rafael A. & Govezensky, Tzipe & Ruiz-Gutiérrez, Élfego & Kaski, Kimmo K., 2017. "Modelling trading networks and the role of trust," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 68-79.
  16. Yun-Shi Dai & Ngoc Quang Anh Huynh & Qing-Huan Zheng & Wei-Xing Zhou, 2023. "Correlation structure analysis of the global agricultural futures market," Papers 2310.16849, arXiv.org.
  17. Khaldoun Khashanah & Talal Alsulaiman, 2017. "Connectivity, Information Jumps, and Market Stability: An Agent-Based Approach," Complexity, Hindawi, vol. 2017, pages 1-16, August.
  18. Ilaria Giannoccaro & Giovanni F. Massari & Giuseppe Carbone, 2018. "Team Resilience in Complex and Turbulent Environments: The Effect of Size and Density of Social Interactions," Complexity, Hindawi, vol. 2018, pages 1-11, July.
  19. James Holehouse & Hector Pollitt, 2021. "Non-equilibrium time-dependent solution to discrete choice with social interactions," Papers 2109.09633, arXiv.org, revised Jan 2022.
  20. Christoph J. Borner & Ingo Hoffmann & John H. Stiebel, 2023. "On the Connection between Temperature and Volatility in Ideal Agent Systems," Papers 2303.15164, arXiv.org.
  21. Antoine Kopp & Rebecca Westphal & Didier Sornette, 2022. "Agent-based model generating stylized facts of fixed income markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(4), pages 947-992, October.
  22. Johann Lussange & Boris Gutkin, 2023. "Order book regulatory impact on stock market quality: a multi-agent reinforcement learning perspective," Papers 2302.04184, arXiv.org.
  23. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2018. "Simulation of Stylized Facts in Agent-Based Computational Economic Market Models," Papers 1812.02726, arXiv.org, revised Nov 2019.
  24. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021. "An empirical behavioral order-driven model with price limit rules," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
  25. Zeng, Yayun & Wang, Jun & Xu, Kaixuan, 2017. "Complexity and multifractal behaviors of multiscale-continuum percolation financial system for Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 364-376.
  26. 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.
  27. Horvath, Philip A. & Roos, Kelly R. & Sinha, Amit, 2016. "An Ising spin state explanation for financial asset allocation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 112-116.
  28. Dimitri Kroujiline & Maxim Gusev & Dmitry Ushanov & Sergey V. Sharov & Boris Govorkov, 2016. "Forecasting stock market returns over multiple time horizons," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1695-1712, November.
  29. Fang, Wen & Ke, Jinchuan & Wang, Jun & Feng, Ling, 2016. "Linking market interaction intensity of 3D Ising type financial model with market volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 531-542.
  30. Matthew Oldham, 2019. "Understanding How Short-Termism and a Dynamic Investor Network Affects Investor Returns: An Agent-Based Perspective," Complexity, Hindawi, vol. 2019, pages 1-21, July.
  31. Lei Tan & Bo Zheng & Jun-Jie Chen & Xiong-Fei Jiang, 2015. "How volatilities nonlocal in time affect the price dynamics in complex financial systems," Papers 1502.00824, arXiv.org.
  32. Léa Kaufmann & Ranaivo Razakanirina & Derek Groen & Bastien Chopard, 2018. "Impact of immigrants on a multi-agent economical system," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-16, May.
  33. Arthur Matsuo Yamashita Rios de Sousa & Hideki Takayasu & Misako Takayasu, 2017. "Detection of statistical asymmetries in non-stationary sign time series: Analysis of foreign exchange data," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-18, May.
  34. Ausloos, Marcel & Jovanovic, Franck & Schinckus, Christophe, 2016. "On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 7-14.
  35. Jerome L Kreuser & Didier Sornette, 2017. "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series 17-33, Swiss Finance Institute.
  36. Andrew G. Haldane & Arthur E. Turrell, 2019. "Drawing on different disciplines: macroeconomic agent-based models," Journal of Evolutionary Economics, Springer, vol. 29(1), pages 39-66, March.
  37. Zhang, Yali & Wang, Jun, 2017. "Nonlinear complexity of random visibility graph and Lempel-Ziv on multitype range-intensity interacting financial dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 741-756.
  38. Tao, Yong & Sornette, Didier & Lin, Li, 2021. "Emerging social brain: A collective self-motivated Boltzmann machine," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
  39. Lei Tan & Bo Zheng & Jun-Jie Chen & Xiong-Fei Jiang, 2015. "How Volatilities Nonlocal in Time Affect the Price Dynamics in Complex Financial Systems," PLOS ONE, Public Library of Science, vol. 10(2), pages 1-16, February.
  40. Maxim Gusev & Dimitri Kroujiline & Boris Govorkov & Sergey V. Sharov & Dmitry Ushanov & Maxim Zhilyaev, 2014. "Predictable markets? A news-driven model of the stock market," Papers 1404.7364, arXiv.org, revised Sep 2014.
  41. Peng, Xiaoyi & Zhao, Yi & Small, Michael, 2020. "Identification and prediction of bifurcation tipping points using complex networks based on quasi-isometric mapping," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  42. Torsten Trimborn & Lorenzo Pareschi & Martin Frank, 2017. "Portfolio Optimization and Model Predictive Control: A Kinetic Approach," Papers 1711.03291, arXiv.org, revised Feb 2019.
  43. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  44. Rebecca Westphal & Didier Sornette, 2020. "How market intervention can prevent bubbles and crashes," Swiss Finance Institute Research Paper Series 20-74, Swiss Finance Institute.
  45. Stein, Julian Alexander Cornelius & Braun, Dieter, 2019. "Stability of a time-homogeneous system of money and antimoney in an agent-based random economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 232-249.
  46. Aleksejus Kononovicius & Julius Ruseckas, 2018. "Order book model with herd behavior exhibiting long-range memory," Papers 1809.02772, arXiv.org, revised Apr 2019.
  47. Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
  48. Rafał Apriasz & Tyll Krueger & Grzegorz Marcjasz & Katarzyna Sznajd-Weron, 2016. "The Hunt Opinion Model—An Agent Based Approach to Recurring Fashion Cycles," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-19, November.
  49. Xin, C. & Yang, G. & Huang, J.P., 2017. "Ising game: Nonequilibrium steady states of resource-allocation systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 666-673.
  50. Stjepan Beguv{s}i'c & Zvonko Kostanjv{c}ar & H. Eugene Stanley & Boris Podobnik, 2018. "Scaling properties of extreme price fluctuations in Bitcoin markets," Papers 1803.08405, arXiv.org.
  51. Igor Sokolov & Anatoly Katyshev, 2017. "Nanoeconomics: A Statistical Model of Company Profit Influenced by Individual Interests of Managers," Applied Economics and Finance, Redfame publishing, vol. 4(1), pages 53-71, January.
  52. Schmidhuber, Christof, 2022. "Financial markets and the phase transition between water and steam," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 592(C).
  53. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.
  54. Carlo Campajola & Domenico Di Gangi & Fabrizio Lillo & Daniele Tantari, 2020. "Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model," Papers 2007.15545, arXiv.org, revised Aug 2021.
  55. Yoshimura, Yushi & Okuda, Hiroshi & Chen, Yu, 2020. "A mathematical formulation of order cancellation for the agent-based modelling of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
  56. G. Demos & D. Sornette, 2017. "Birth or burst of financial bubbles: which one is easier to diagnose?," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 657-675, May.
  57. Kononovicius, Aleksejus & Ruseckas, Julius, 2019. "Order book model with herd behavior exhibiting long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 171-191.
  58. John Rutledge, 2015. "Economics as energy framework: Complexity, turbulence, financial crises, and protectionism," Review of Financial Economics, John Wiley & Sons, vol. 25(1), pages 10-18, April.
  59. Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2017. "Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 50(4), pages 579-594, December.
  60. Giannoccaro, Ilaria & Carbone, Giuseppe, 2017. "An Ising-based dynamic model to study the effect of social interactions on firm absorptive capacity," International Journal of Production Economics, Elsevier, vol. 194(C), pages 214-227.
  61. Kei Katahira & Yu Chen, 2019. "Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game," Papers 1909.03185, arXiv.org.
  62. Kei Katahira & Yu Chen & Gaku Hashimoto & Hiroshi Okuda, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Papers 1902.02040, arXiv.org.
  63. Xing, Yani & Wang, Jun, 2019. "Statistical volatility duration and complexity of financial dynamics on Sierpinski gasket lattice percolation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 234-247.
  64. Zapart, Christopher A., 2015. "Econophysics: A challenge to econometricians," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 318-327.
  65. Yang, G. & Chen, Y. & Huang, J.P., 2016. "The highly intelligent virtual agents for modeling financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 98-108.
  66. Yuichi Ikeda, 2020. "An Interacting Agent Model of Economic Crisis," Papers 2001.11843, arXiv.org.
  67. Victor Boussange & Didier Sornette & Heike Lischke & Loic Pellissier, 2023. "Processes analogous to ecological interactions and dispersal shape the dynamics of economic activities," Papers 2301.09486, arXiv.org.
  68. Johann Lussange & Stefano Vrizzi & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin, 2023. "Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1523-1544, April.
  69. Oldham, Matthew, 2020. "Quantifying the concerns of Dimon and Buffett with data and computation," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  70. Simon Cramer & Torsten Trimborn, 2019. "Stylized Facts and Agent-Based Modeling," Papers 1912.02684, arXiv.org.
  71. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
  72. Wang, Yiduan & Zheng, Shenzhou & Zhang, Wei & Wang, Jun & Wang, Guochao, 2018. "Modeling and complexity of stochastic interacting Lévy type financial price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 498-511.
  73. Stjepan Begušić & Zvonko Kostanjčar & Dejan Kovač & H. Eugene Stanley & Boris Podobnik, 2018. "Information Feedback in Temporal Networks as a Predictor of Market Crashes," Complexity, Hindawi, vol. 2018, pages 1-13, September.
  74. Jackson, Antony & Ladley, Daniel, 2016. "Market ecologies: The effect of information on the interaction and profitability of technical trading strategies," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 270-280.
  75. Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
  76. Dai, Yun-Shi & Huynh, Ngoc Quang Anh & Zheng, Qing-Huan & Zhou, Wei-Xing, 2022. "Correlation structure analysis of the global agricultural futures market," Research in International Business and Finance, Elsevier, vol. 61(C).
  77. Kroujiline, Dimitri & Gusev, Maxim & Ushanov, Dmitry & Sharov, Sergey V. & Govorkov, Boris, 2015. "Forecasting stock market returns over multiple time horizons," MPRA Paper 66175, University Library of Munich, Germany.
  78. Tilfani, Oussama & Kristoufek, Ladislav & Ferreira, Paulo & El Boukfaoui, My Youssef, 2022. "Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
  79. Chen, Ting-Ting & Zheng, Bo & Li, Yan & Jiang, Xiong-Fei, 2018. "Information driving force and its application in agent-based modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 593-601.
  80. Begušić, Stjepan & Kostanjčar, Zvonko & Eugene Stanley, H. & Podobnik, Boris, 2018. "Scaling properties of extreme price fluctuations in Bitcoin markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 400-406.
  81. Sandro Claudio Lera & Didier Sornette, 2015. "Currency target zone modeling: An interplay between physics and economics," Papers 1508.04754, arXiv.org, revised Oct 2015.
  82. Fry, John & Cheah, Eng-Tuck, 2016. "Negative bubbles and shocks in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 343-352.
  83. Li-Xin Wang, 2016. "Modeling Stock Price Dynamics with Fuzzy Opinion Networks," Papers 1602.06213, arXiv.org.
  84. Zhou, Feite & Huang, Zhehao & Zhang, Changhong, 2022. "Carbon price forecasting based on CEEMDAN and LSTM," Applied Energy, Elsevier, vol. 311(C).
  85. Zhong, Li-Xin & Xu, Wen-Juan & Chen, Rong-Da & Zhong, Chen-Yang & Qiu, Tian & Ren, Fei & He, Yun-Xing, 2018. "Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 301-310.
  86. Massari, Giovanni F. & Giannoccaro, Ilaria & Carbone, Giuseppe, 2019. "Are distrust relationships beneficial for group performance? The influence of the scope of distrust on the emergence of collective intelligence," International Journal of Production Economics, Elsevier, vol. 208(C), pages 343-355.
  87. Gusev, Maxim & Kroujiline, Dimitri & Govorkov, Boris & Sharov, Sergey V. & Ushanov, Dmitry & Zhilyaev, Maxim, 2014. "Predictable markets? A news-driven model of the stock market," MPRA Paper 58831, University Library of Munich, Germany.
  88. V. I. Yukalov & E. P. Yukalova & D. Sornette, 2015. "Dynamical system theory of periodically collapsing bubbles," Papers 1507.05311, arXiv.org.
  89. Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou & H Eugene Stanley, 2016. "Limit-order book resiliency after effective market orders: Spread, depth and intensity," Papers 1602.00731, arXiv.org, revised Feb 2017.
  90. Steven D. Silver & Marko Raseta, 2021. "An ARFIMA multi-level model of dual-component expectations in repeated cross-sectional survey data," Empirical Economics, Springer, vol. 60(2), pages 683-699, February.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.