Nothing Special   »   [go: up one dir, main page]

create a website
Evolutionary model of stock markets. (2014). Kaldasch, Joachim.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:415:y:2014:i:c:p:449-462.

Full description at Econpapers || Download paper

Cited: 4

Citations received by this document

Cites: 31

References cited by this document

Cocites: 60

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Dynamic Model of Markets of Successive Product Generations. (2015). Kaldasch, Joachim.
    In: EconStor Open Access Articles.
    RePEc:zbw:espost:118689.

    Full description at Econpapers || Download paper

  2. The Product Life Cycle of Durable Goods. (2015). Kaldasch, Joachim.
    In: EconStor Open Access Articles.
    RePEc:zbw:espost:118615.

    Full description at Econpapers || Download paper

  3. Dynamic Model of Markets of Homogenous Non-Durables. (2015). Kaldasch, Joachim.
    In: EconStor Open Access Articles.
    RePEc:zbw:espost:114165.

    Full description at Econpapers || Download paper

  4. Dynamic Model of the Price Dispersion of Homogeneous Goods. (2015). Kaldasch, Joachim.
    In: MPRA Paper.
    RePEc:pra:mprapa:64723.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Andreoli, A. ; Caravenna, F. ; Dai Pra, P. ; Posta, G. Scaling and multiscaling in financial series: a simple model. 2012 Adv. Appl. Probab.. 44 907-1200

  2. B. Mandelbrot, A. Fisher, L. Calvet, A multifractal model of asset returns, Cowles Foundation Discussion Papers 1164, Cowles Foundation, Yale University, 1997.

  3. Bibby, B.M. ; Sorensen, M. Hyperbolic processes in finance. 2003 En : Rachev, S.T. Handbook of Heavy Tailed Distributions in Finance. Elsevier Science: Amsterdam
    Paper not yet in RePEc: Add citation now
  4. Bollerslev, T. Generalized autoregressive conditional heteroskedasticity. 1986 J. Econometrics. 31 307-327

  5. Bollerslev, T. ; Engle, R.F. ; Nelson, D.B. ARCH models. 1994 En : Engle, R.F. ; McFadden, D.L. Handbook of Econometrics. Elsevier:

  6. Bouchaud, J.-P. ; Potters, M. Theory of Financial Risk and Derivative Pricing. 2003 Cambridge University Press:

  7. Chakraborti, A. ; Toke, I.M. ; Patriarca, M. ; Abergel, F. Econophysics review: II. Agent-based models. 2011 Quant. Finance. 11 1013-1041

  8. Ebeling, W. ; Feistel, R. Physics of Self-Organization and Evolution. 2011 Wiley:
    Paper not yet in RePEc: Add citation now
  9. Engle, R. Estimates of the variances of US inflation based upon the ARCH model. 1983 J. Money Credit Bank.. 15 286-301

  10. Haas, M. ; Mittnik, S. ; Paolella, M.S. Modeling and predicting market risk with Laplace–Gaussian mixture distributions. 2006 Appl. Financ. Econ.. 16 1145-1162

  11. Haken, H. Synergetics, An Introduction: Nonequilibrium Phase Transitions and Self-Organization in Physics, Chemistry, and Biology. 1983 Springer-Verlag: New York
    Paper not yet in RePEc: Add citation now
  12. Kanji, G.K. A mixture model for wind shear data. 1985 J. Appl. Stat.. 12 49-58
    Paper not yet in RePEc: Add citation now
  13. Kotz, S. ; Podgorski, K. ; Kozubowski, T. The Laplace Distribution and Generalizations: A Revisit with Application to Communication, Economics, Engineering and Finance. 2001 Birkhäuser: Boston
    Paper not yet in RePEc: Add citation now
  14. LeBaron, B. Short-memory traders and their impact on group learning in financial markets. 2002 Proc. Natl. Acad. Sci. USA. 99 7201-7206
    Paper not yet in RePEc: Add citation now
  15. Linden, M. A model for stock return distribution. 2001 Int. J. Finance Econ.. 6 159-169

  16. Mantegna, R.N. ; Stanley, H.E. An Introduction to Econophysics. 2000 Cambridge University Press: Cambridge, UK
    Paper not yet in RePEc: Add citation now
  17. Mantegna, R.N. ; Stanley, H.E. Scaling behaviour in the dynamics of an economic index. 1995 Nature. 376 46-
    Paper not yet in RePEc: Add citation now
  18. McCauley, J.L. Dynamics of Markets. 2004 Cambridge University Press: Cambridge, UK
    Paper not yet in RePEc: Add citation now
  19. Modis, Th. An S-shaped trail to wall street. 1999 En : Growth Dynamics. :
    Paper not yet in RePEc: Add citation now
  20. Modis, Th. Predictions. 1992 Simon & Schuster:
    Paper not yet in RePEc: Add citation now
  21. Musiela, M. ; Rutkowski, M. Martingale Methods in Financial Modelling. 2005 Springer Verlag:
    Paper not yet in RePEc: Add citation now
  22. Nelson, D.B. Conditional heteroskedasticity in asset returns: a new approach. 1991 Econometrica. 59 347-370

  23. Osborne, M.F.M. . 1964 En : Cootner, P. The Random Character of Stock Market Prices. MIT: Cambridge
    Paper not yet in RePEc: Add citation now
  24. Paolella, M. Intermediate Probability. 2007 Wiley:
    Paper not yet in RePEc: Add citation now
  25. Peirano, P.P. ; Challet, D. Baldovin–Stella stochastic volatility process and Wiener process mixtures. 2012 Eur. Phys. J. B. 85 1-12

  26. Podobnik, B. ; Horvatic, D. ; Petersen, A.M. ; Njavro, M. ; Stanley, H.E. Common scaling behaviour in finance and macroeconomics. 2010 Eur. Phys. J. B. 76 487-490

  27. Rybski, D. ; Buldyrev, S.V. ; Havlin, S. ; Lilijeros, F. ; Makse, H.A. Scaling laws of human interaction activity. 2009 Proc. Natl. Acad. Sci.. 106 12640-12645
    Paper not yet in RePEc: Add citation now
  28. Stella, A.L. ; Baldovin, F. Anomalous scaling due to correlations: limit theorems and self-similar processes. 2010 J. Stat. Mech.. P02018-
    Paper not yet in RePEc: Add citation now
  29. Voit, J. The Statistical Mechanics of Financial Markets. 2010 Springer: Berlin
    Paper not yet in RePEc: Add citation now
  30. Zhang, W.-B. Synergetic Economics. 1991 Springer Verlag: Heidelberg
    Paper not yet in RePEc: Add citation now
  31. Zumbach, G.O. ; Dacorogna, M.M. ; Olsen, J.L. ; Olsen, R.B. Measuring shock in financial markets. 2000 Int. J. Theor. Appl. Finance. 3 347-

Cocites

Documents in RePEc which have cited the same bibliography

  1. The asymptotic smile of a multiscaling stochastic volatility model. (2018). Caravenna, Francesco ; Corbetta, Jacopo.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:128:y:2018:i:3:p:1034-1071.

    Full description at Econpapers || Download paper

  2. The asymptotic smile of a multiscaling stochastic volatility model. (2017). Caravenna, Francesco ; Corbetta, Jacopo.
    In: Papers.
    RePEc:arx:papers:1501.03387.

    Full description at Econpapers || Download paper

  3. A multivariate model for financial indices and an algorithm for detection of jumps in the volatility. (2016). Pigato, Paolo ; Camelia, Matteo ; Bonino, Mario .
    In: Working Papers.
    RePEc:hal:wpaper:hal-01408495.

    Full description at Econpapers || Download paper

  4. Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9.

    Full description at Econpapers || Download paper

  5. General smile asymptotics with bounded maturity. (2016). Caravenna, Francesco ; Corbetta, Jacopo.
    In: Papers.
    RePEc:arx:papers:1411.1624.

    Full description at Econpapers || Download paper

  6. A multivariate model for financial indices and an algorithm for detection of jumps in the volatility. (2016). Bonino, Mario ; Pigato, Paolo ; Camelia, Matteo .
    In: Papers.
    RePEc:arx:papers:1404.7632.

    Full description at Econpapers || Download paper

  7. Multifractality in Finance: A deep understanding and review of Mandelbrots MMAR. (2015). Maglione, Federico .
    In: Working Papers.
    RePEc:ven:wpaper:2015:05.

    Full description at Econpapers || Download paper

  8. Multi-scaling of moments in stochastic volatility models. (2015). Pra, Dai P ; Pigato, P.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:10:p:3725-3747.

    Full description at Econpapers || Download paper

  9. What is beneath the surface? Option pricing with multifrequency latent states. (2015). Calvet, Laurent ; Leippold, Markus ; Fisher, Adlai J. ; Fearnley, Marcus .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:498-511.

    Full description at Econpapers || Download paper

  10. Evolutionary Model of Stock Markets. (2015). Kaldasch, Joachim.
    In: Papers.
    RePEc:arx:papers:1607.01248.

    Full description at Econpapers || Download paper

  11. Evolutionary model of stock markets. (2014). Kaldasch, Joachim.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:415:y:2014:i:c:p:449-462.

    Full description at Econpapers || Download paper

  12. Persistence intervals of fractals. (2014). Heermann, Dieter W. ; Mate, Gabriell .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:405:y:2014:i:c:p:252-259.

    Full description at Econpapers || Download paper

  13. Financial market volatility and contagion effect: A copula–multifractal volatility approach. (2014). Liu, Maojuan ; Wei, YU ; Lin, YU ; Chen, Wang ; Lang, Qiaoqi .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:398:y:2014:i:c:p:289-300.

    Full description at Econpapers || Download paper

  14. Forecasting daily return densities from intraday data: A multifractal approach. (2014). Olmo, Jose ; Hallam, Mark.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:4:p:863-881.

    Full description at Econpapers || Download paper

  15. Self-affinity in financial asset returns. (2014). Onali, Enrico ; Goddard, John.
    In: Papers.
    RePEc:arx:papers:1401.7170.

    Full description at Econpapers || Download paper

  16. A Markov-switching multifractal inter-trade duration model, with application to US equities. (2013). Schorfheide, Frank ; Diebold, Francis ; Chen, Fei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:320-342.

    Full description at Econpapers || Download paper

  17. Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options. (2013). Lin, Bing-Huei ; Huang, Teng-Ching ; Chuang, Wen-I, .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:168-187.

    Full description at Econpapers || Download paper

  18. A multifractal approach towards inference in finance. (2012). Rypdal, Martin ; Lovsletten, Ola .
    In: Papers.
    RePEc:arx:papers:1202.5376.

    Full description at Econpapers || Download paper

  19. Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations. (2012). Sirnes, Espen ; Lovsletten, Ola ; Rypdal, Martin .
    In: Papers.
    RePEc:arx:papers:1202.4877.

    Full description at Econpapers || Download paper

  20. Understanding the source of multifractality in financial markets. (2012). Liu, Ruipeng ; Baruník, Jozef ; Barunik, Jozef ; Aste, Tomaso ; di Matteo, Tiziana.
    In: Papers.
    RePEc:arx:papers:1201.1535.

    Full description at Econpapers || Download paper

  21. Quantum Financial Economics - Risk and Returns. (2012). Gonccalves, Carlos Pedro .
    In: Papers.
    RePEc:arx:papers:1107.2562.

    Full description at Econpapers || Download paper

  22. Are European equity markets efficient? New evidence from fractal analysis. (2011). Onali, Enrico ; Goddard, John.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:2:p:59-67.

    Full description at Econpapers || Download paper

  23. Multifractal modeling of short-term interest rates. (2011). Rypdal, M. ; Lovsletten, O..
    In: Papers.
    RePEc:arx:papers:1111.5265.

    Full description at Econpapers || Download paper

  24. Dynamical Hurst exponent as a tool to monitor unstable periods in financial time series. (2011). Morales, Raffaello ; Aste, Tomaso ; Di Matteo, T. ; Gramatica, Ruggero .
    In: Papers.
    RePEc:arx:papers:1109.0465.

    Full description at Econpapers || Download paper

  25. Relative forecasting performance of volatility models: Monte Carlo evidence. (2010). Lux, Thomas ; Morales-Arias, Leonardo .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1582.

    Full description at Econpapers || Download paper

  26. Scaling issues for risky asset modelling. (2009). Heyde, Chris .
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:69:y:2009:i:3:p:593-603.

    Full description at Econpapers || Download paper

  27. Behavioral approach to market and default risks modeling. (2009). Taguedong, Sylvain Chamberlain .
    In: MPRA Paper.
    RePEc:pra:mprapa:20641.

    Full description at Econpapers || Download paper

  28. Unifractality and multifractality in the Italian stock market. (2009). Onali, Enrico ; Goddard, John.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:4:p:154-163.

    Full description at Econpapers || Download paper

  29. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:7328.

    Full description at Econpapers || Download paper

  30. Comparison between volatility return intervals of the S&P 500 index and two common models. (2008). Yamasaki, K. ; Vodenska-Chitkushev, I. ; Stanley, H. E. ; Wang, F. Z. ; Havlin, S. ; Weber, P..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:61:y:2008:i:2:p:217-223.

    Full description at Econpapers || Download paper

  31. The ups and downs of the renormalization group applied to financial time series. (2008). Peirano, Pier Paolo ; Challet, Damien.
    In: MPRA Paper.
    RePEc:pra:mprapa:9770.

    Full description at Econpapers || Download paper

  32. A non-random walk revisited: short- and long-term memory in asset prices. (2008). Vitanza, Justin ; Eitelman, Paul.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:956.

    Full description at Econpapers || Download paper

  33. Multifrequency jump-diffusions: An equilibrium approach. (2008). Fisher, Adlai ; Calvet, Laurent.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:44:y:2008:i:2:p:207-226.

    Full description at Econpapers || Download paper

  34. Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models.. (2008). Idier, Julien.
    In: Working papers.
    RePEc:bfr:banfra:218.

    Full description at Econpapers || Download paper

  35. Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Frederiksen, Per ; Nielsen, Frank S..
    In: CREATES Research Papers.
    RePEc:aah:create:2008-59.

    Full description at Econpapers || Download paper

  36. Long memory options: LM evidence and simulations. (2007). Los, Cornelis ; JAMDEE, SUTTHISIT.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:21:y:2007:i:2:p:260-280.

    Full description at Econpapers || Download paper

  37. Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching. (2007). Lux, Thomas ; Kaizoji, Taisei.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:6:p:1808-1843.

    Full description at Econpapers || Download paper

  38. Multifrequency Jump-Diffusions: An Equilibrium Approach. (2006). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12797.

    Full description at Econpapers || Download paper

  39. Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays. (2005). Sansone, Alessandro ; Garofalo, Giuseppe.
    In: Finance.
    RePEc:wpa:wuwpfi:0510026.

    Full description at Econpapers || Download paper

  40. The Use of Downside Risk Measures in Portfolio Construction and Evaluation. (2005). Jacobsen, Brian J..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:5.

    Full description at Econpapers || Download paper

  41. Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays. (2005). Garofalo, Giuseppe ; Sansone, Alessandro .
    In: Working Papers.
    RePEc:sap:wpaper:wp88.

    Full description at Econpapers || Download paper

  42. The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility. (2004). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:2442.

    Full description at Econpapers || Download paper

  43. Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models. (2004). Lux, Thomas ; Kaizoji, Taisei.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:1936.

    Full description at Econpapers || Download paper

  44. Persistence Characteristics of Latin American Financial Markets. (2004). Los, Cornelis ; Kyaw, Nyonyo ; ZONG, SIJING.
    In: Finance.
    RePEc:wpa:wuwpfi:0411013.

    Full description at Econpapers || Download paper

  45. Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash. (2004). Los, Cornelis ; YALAMOVA, ROSSITSA M..
    In: Finance.
    RePEc:wpa:wuwpfi:0409050.

    Full description at Econpapers || Download paper

  46. Maritime businesses: volatile stock prices and market valuation inefficiencies. (2004). Lombardo, Gary A. ; Mulligan, Robert F..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:44:y:2004:i:2:p:321-336.

    Full description at Econpapers || Download paper

  47. Fractal analysis of highly volatile markets: an application to technology equities. (2004). Mulligan, Robert F..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:44:y:2004:i:1:p:155-179.

    Full description at Econpapers || Download paper

  48. The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting. (2003). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:1123.

    Full description at Econpapers || Download paper

  49. Modeling long-range dependent Gaussian processes with application in continuous-time financial models. (2003). GAO, Jiti.
    In: MPRA Paper.
    RePEc:pra:mprapa:11973.

    Full description at Econpapers || Download paper

  50. Long-Range Dependence in Daily Volatility on Tunisian Stock Market. (2003). Aloui, Chaker.
    In: Working Papers.
    RePEc:erg:wpaper:0340.

    Full description at Econpapers || Download paper

  51. Volatility via social flaring. (2003). Rosser, Barkley ; Ahmed, Ehsan ; Hartmann, Georg C..
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:50:y:2003:i:1:p:77-87.

    Full description at Econpapers || Download paper

  52. Multifractality: Theory and Evidence an Application to the French Stock Market. (2003). Fillol, Jrme .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2003:i:31:p:1-12.

    Full description at Econpapers || Download paper

  53. Interaction models for common long-range dependence in asset price volatilities. (2003). TEYSSIeRE, Gilles .
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2003026.

    Full description at Econpapers || Download paper

  54. Financial econometrics: Past developments and future challenges. (2001). Bollerslev, Tim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:100:y:2001:i:1:p:41-51.

    Full description at Econpapers || Download paper

  55. Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient. (2000). Härdle, Wolfgang ; Hardle, Wolfgang ; Kleinow, Torsten ; Schmidt, Peter ; Hall, Peter.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:3:y:2000:i:3:p:263-276.

    Full description at Econpapers || Download paper

  56. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:99-08.

    Full description at Econpapers || Download paper

  57. Forecasting Multifractal Volatility. (1999). Fisher, Adlai ; Calvet, Laurent.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-017.

    Full description at Econpapers || Download paper

  58. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1166.

    Full description at Econpapers || Download paper

  59. Large Deviations and the Distribution of Price Changes. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1165.

    Full description at Econpapers || Download paper

  60. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-07 02:03:43 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.