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Coherent and random sequences in financial fluctuations

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Cited by:

  1. Johann Lussange & Ivan Lazarevich & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin, 2021. "Modelling Stock Markets by Multi-agent Reinforcement Learning," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 113-147, January.
  2. T. Di Matteo & T. Aste & M. M. Dacorogna, 2003. "Using the Scaling Analysis to Characterize Financial Markets," Papers cond-mat/0302434, arXiv.org.
  3. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
  4. Kavasseri, Rajesh G. & Nagarajan, Radhakrishnan, 2005. "A multifractal description of wind speed records," Chaos, Solitons & Fractals, Elsevier, vol. 24(1), pages 165-173.
  5. Vygintas Gontis & Aleksejus Kononovicius, 2014. "Consentaneous Agent-Based and Stochastic Model of the Financial Markets," PLOS ONE, Public Library of Science, vol. 9(7), pages 1-12, July.
  6. Zunino, Luciano & Tabak, Benjamin M. & Serinaldi, Francesco & Zanin, Massimiliano & Pérez, Darío G. & Rosso, Osvaldo A., 2011. "Commodity predictability analysis with a permutation information theory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 876-890.
  7. 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.
  8. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 9, Edward Elgar Publishing.
  9. Domino, Krzysztof & Błachowicz, Tomasz, 2014. "The use of copula functions for modeling the risk of investment in shares traded on the Warsaw Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 77-85.
  10. Tarnopolski, Mariusz, 2016. "On the relationship between the Hurst exponent, the ratio of the mean square successive difference to the variance, and the number of turning points," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 662-673.
  11. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
  12. Un, Kuok Sin & Ausloos, Marcel, 2022. "Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
  13. 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.
  14. Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "The stylized facts of prediction markets: Analysis of price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 159-170.
  15. Domino, Krzysztof, 2012. "The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 156-169.
  16. Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006. "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July.
  17. Struzik, Zbigniew R., 2001. "Wavelet methods in (financial) time-series processing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 296(1), pages 307-319.
  18. Martin Magris & Jiyeong Kim & Esa Rasanen & Juho Kanniainen, 2017. "Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis," Papers 1711.03534, arXiv.org.
  19. Boilard, J.-F. & Kanazawa, K. & Takayasu, H. & Takayasu, M., 2018. "Empirical scaling relations of market event rates in foreign currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1152-1161.
  20. Ausloos, M. & Bronlet, Ph., 2003. "Strategy for investments from Zipf law(s)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 30-37.
  21. Marcel Ausloos, 2014. "A biased view of a few possible components when reflecting on the present decade financial and economic crisis," Papers 1412.0127, arXiv.org.
  22. Gurjeet Dhesi & Marcel Ausloos, 2016. "Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton," Papers 1601.01553, arXiv.org.
  23. Ausloos, Marcel, 2016. "Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological solitonAuthor-Name: Dhesi, Gurjeet," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 119-125.
  24. Indranil Mukherjee & Amitava Sarkar, 2011. "Complexity, Financial Markets and their Scaling Laws," DEGIT Conference Papers c016_008, DEGIT, Dynamics, Economic Growth, and International Trade.
  25. Gaël Kermarrec, 2020. "On Estimating the Hurst Parameter from Least-Squares Residuals. Case Study: Correlated Terrestrial Laser Scanner Range Noise," Mathematics, MDPI, vol. 8(5), pages 1-23, April.
  26. Koçak, Kasım, 2009. "Examination of persistence properties of wind speed records using detrended fluctuation analysis," Energy, Elsevier, vol. 34(11), pages 1980-1985.
  27. Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.
  28. Paulo Ferreira, 2020. "Dynamic long-range dependences in the Swiss stock market," Empirical Economics, Springer, vol. 58(4), pages 1541-1573, April.
  29. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
  30. Absil, P.-A & Sepulchre, R & Bilge, A & Gérard, P, 1999. "Nonlinear analysis of cardiac rhythm fluctuations using DFA method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 272(1), pages 235-244.
  31. Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW Kiel).
  32. M. Bartolozzi & C. Mellen, 2009. "Local Risk Decomposition for High-frequency Trading Systems," Papers 0904.4099, arXiv.org, revised Feb 2011.
  33. Yuan, Naiming & Fu, Zuntao & Mao, Jiangyu, 2010. "Different scaling behaviors in daily temperature records over China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(19), pages 4087-4095.
  34. Łukasz Bil & Dariusz Grech & Magdalena Zienowicz, 2017. "Asymmetry of price returns—Analysis and perspectives from a non-extensive statistical physics point of view," PLOS ONE, Public Library of Science, vol. 12(11), pages 1-24, November.
  35. Paulo Ferreira & Éder J. A. L. Pereira & Hernane B. B. Pereira, 2020. "The Exposure of European Union Productive Sectors to Oil Price Changes," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
  36. Domino, Krzysztof, 2011. "The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(1), pages 98-109.
  37. Sousa, Tânia & Domingos, Tiago, 2006. "Equilibrium econophysics: A unified formalism for neoclassical economics and equilibrium thermodynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 492-512.
  38. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.
  39. Marcel Ausloos, 2013. "Econophysics: Comments on a Few Applications, Successes, Methods and Models," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 101-115, July.
  40. Petroni, Filippo & Ausloos, Marcel, 2008. "High frequency intrinsic modes in El Niño/Southern Oscillation Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5246-5254.
  41. Stavros-Richard G. Christopoulos & Nicholas V. Sarlis, 2017. "An Application of the Coherent Noise Model for the Prediction of Aftershock Magnitude Time Series," Complexity, Hindawi, vol. 2017, pages 1-27, February.
  42. Shang, Pengjian & Lu, Yongbo & Kamae, Santi, 2008. "Detecting long-range correlations of traffic time series with multifractal detrended fluctuation analysis," Chaos, Solitons & Fractals, Elsevier, vol. 36(1), pages 82-90.
  43. Domino, Krzysztof & Błachowicz, Tomasz, 2015. "The use of copula functions for modeling the risk of investment in shares traded on world stock exchanges," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 142-151.
  44. Lux, Thomas, 2006. "Financial power laws: Empirical evidence, models, and mechanism," Economics Working Papers 2006-12, Christian-Albrechts-University of Kiel, Department of Economics.
  45. Rotundo, G. & Ausloos, M. & Herteliu, C. & Ileanu, B., 2015. "Hurst exponent of very long birth time series in XX century Romania. Social and religious aspects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 109-117.
  46. 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.
  47. Kaltwasser, Pablo Rovira, 2010. "Uncertainty about fundamentals and herding behavior in the FOREX market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1215-1222.
  48. Bentes, Sónia R., 2014. "Measuring persistence in stock market volatility using the FIGARCH approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 190-197.
  49. Paulo Ferreira & Luís Carlos Loures, 2020. "An Econophysics Study of the S&P Global Clean Energy Index," Sustainability, MDPI, vol. 12(2), pages 1-9, January.
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