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Physicists Attempt to Scale the Ivory Towers of Finance

Citations

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Cited by:

  1. 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.
  2. Zapart, Christopher A., 2009. "On entropy, financial markets and minority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1157-1172.
  3. Nicola Anderson & Joseph Noss, 2013. "Financial Stability Paper No 23: The Fractal Market Hypothesis and its implications for the stability of financial markets," Bank of England Financial Stability Papers 23, Bank of England.
  4. 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.
  5. Farmer, J. Doyne & Joshi, Shareen, 2002. "The price dynamics of common trading strategies," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 149-171, October.
  6. Ardakani, Omid M., 2025. "Informational efficiency and rational bubbles," International Review of Economics & Finance, Elsevier, vol. 103(C).
  7. Darbellay, Georges A & Wuertz, Diethelm, 2000. "The entropy as a tool for analysing statistical dependences in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 429-439.
  8. Suárez-García, Pablo & Gómez-Ullate, David, 2013. "Scaling, stability and distribution of the high-frequency returns of the Ibex35 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1409-1417.
  9. Eric Ringhut & Stefan Kooths, 2003. "Modeling Expectations with GENEFER -- an Artificial Intelligence Approach," Computational Economics, Springer;Society for Computational Economics, vol. 21(1_2), pages 173-194, February.
  10. Cross, Rod & Grinfeld, Michael & Lamba, Harbir & Seaman, Tim, 2005. "A threshold model of investor psychology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 463-478.
  11. Eduardo Zambrano, 2004. "The Interplay between Analytics and Computation in the Study of Congestion Externalities: The Case of the El Farol Problem," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 6(2), pages 375-395, May.
  12. Fernandes, Guilherme & Wardil, Lucas, 2025. "Evolutionary analysis of a simple Minority Game: Coexistence, dominance, and paradoxical outcomes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 669(C).
  13. Fei Ren & Wei-Xing Zhou, 2014. "Dynamic Evolution of Cross-Correlations in the Chinese Stock Market," PLOS ONE, Public Library of Science, vol. 9(5), pages 1-15, May.
  14. Stanley, H.E & Amaral, L.A.N & Gopikrishnan, P & Ivanov, P.Ch & Keitt, T.H & Plerou, V, 2000. "Scale invariance and universality: organizing principles in complex systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 281(1), pages 60-68.
  15. Bouchaud, Jean-Philippe, 2002. "An introduction to statistical finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(1), pages 238-251.
  16. Frank Westerhoff & Claudia Lawrenz, 2000. "Explaining Exchange Rate Volatility With A Genetic Algorithm," Computing in Economics and Finance 2000 325, Society for Computational Economics.
  17. Eisler, Z. & Kertész, J., 2004. "Multifractal model of asset returns with leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 603-622.
  18. Giardina, Irene & Bouchaud, Jean-Philippe, 2003. "Volatility clustering in agent based market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 6-16.
  19. Stanley, H.E & Amaral, L.A.N & Gopikrishnan, P & Plerou, V, 2000. "Scale invariance and universality of economic fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(1), pages 31-41.
  20. De Backer, Stijn & Rocha, Luis E.C. & Ryckebusch, Jan & Schoors, Koen, 2025. "On the potential of quantum walks for modeling financial return distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 657(C).
  21. Franke, Reiner, 2003. "Reinforcement learning in the El Farol model," Journal of Economic Behavior & Organization, Elsevier, vol. 51(3), pages 367-388, July.
  22. Gopikrishnan, P & Plerou, V & Liu, Y & Amaral, L.A.N & Gabaix, X & Stanley, H.E, 2000. "Scaling and correlation in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 362-373.
  23. Dupoyet, B. & Fiebig, H.R. & Musgrove, D.P., 2010. "Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 107-116.
  24. Gopikrishnan, P. & Plerou, V. & Gabaix, X. & Amaral, L.A.N. & Stanley, H.E., 2001. "Price fluctuations and market activity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 137-143.
  25. Stanley, H.E. & Gopikrishnan, P. & Plerou, V. & Amaral, L.A.N., 2000. "Quantifying fluctuations in economic systems by adapting methods of statistical physics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 339-361.
  26. C. Lawrenz & F. Westerhoff, 2003. "Modeling Exchange Rate Behavior with a Genetic Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 209-229, June.
  27. Shi-Woei Lin & Hui-Lung Huang, 2007. "Agent-Based Modeling To Investigate The Disposition Effect In Financial Markets," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(2), pages 145-163.
  28. Jean-Philippe Bouchaud & Matteo Marsili & Jean-Pierre Nadal, 2023. "Application of spin glass ideas in social sciences, economics and finance," Papers 2306.16165, arXiv.org.
  29. Frank Schweitzer & Giorgio Fagiolo & Didier Sornette & Fernando Vega-Redondo & Douglas R. White, 2009. "Economic Networks: What Do We Know And What Do We Need To Know?," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 12(04n05), pages 407-422.
  30. Jean-Philippe Bouchaud, 2002. "An introduction to statistical finance," Science & Finance (CFM) working paper archive 313238, Science & Finance, Capital Fund Management.
  31. Ferreira, Fernando F & Francisco, Gerson & Machado, Birajara S & Muruganandam, Paulsamy, 2003. "Time series analysis for minority game simulations of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 321(3), pages 619-632.
  32. Jean-Philippe Bouchaud, 2000. "Power-laws in economics and finance: some ideas from physics," Science & Finance (CFM) working paper archive 500023, Science & Finance, Capital Fund Management.
  33. Ingve Simonsen & Mogens H. Jensen & Anders Johansen, 2002. "Optimal Investment Horizons," Papers cond-mat/0202352, arXiv.org.
  34. Carl Chiarella & Tony He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Computing in Economics and Finance 2002 135, Society for Computational Economics.
  35. J. Doyne Farmer, 2002. "Market force, ecology and evolution," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 11(5), pages 895-953, November.
  36. Wang, Zhuo & Shang, Pengjian, 2021. "Generalized entropy plane based on multiscale weighted multivariate dispersion entropy for financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
  37. Selçuk, Faruk & Gençay, Ramazan, 2006. "Intraday dynamics of stock market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 375-387.
  38. Philip V. Fellman & Jonathan Vos Post & Roxana Wright & Usha Dasari, 2007. "Adaptation and Coevolution on an Emergent Global Competitive Landscape," Papers 0707.0854, arXiv.org.
  39. Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven, 2009. "Bounds and approximations for sums of dependent log-elliptical random variables," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 385-397, June.
  40. 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.
  41. Anthony Patt & Bernd Siebenhüner, 2005. "Agent Based Modeling and Adaption to Climate Change," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 74(2), pages 310-320.
  42. Westerhoff, Frank H., 2004. "Multiasset Market Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 8(5), pages 596-616, November.
  43. José Carlos Ramirez Sánchez, 2004. "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 51-76, June.
  44. Donangelo, R. & Hansen, A. & Sneppen, K. & Souza, S.R., 2000. "Physics of fashion fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 539-545.
  45. Zawadowski, A.G & Karádi, R & Kertész, J, 2002. "Price drops, fluctuations, and correlation in a multi-agent model of stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 403-412.
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