Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness (original) (raw)
Related papers
Statistical properties of deterministic threshold elements — the case of market price
Physica A: Statistical Mechanics and its Applications, 1992
On the nature of the stock market: Simulations and experiments
Arxiv preprint cond-mat/0010211, 2000
Dynamical Explanation for the Emergence of Power Law In a Stock Market Model
International Journal of Modern Physics C- …, 1996
A microscopic model of the stock market
1994
Criticality and Finite Size Effects In a Simple Realistic Model of Stock Market
Arxiv preprint cond-mat/0210549, 2002
Market Fluctuations: multiplicative and percolation models, size effects and predictions
1999
Kinetic models for socio-economic dynamics of speculative markets
Physica a-Statistical Mechanics and Its Applications, 2012
Long scale evolution of a nonlinear stochastic dynamic system for modeling market price bubbles
Physics Letters A, 2000
Price dynamics in financial markets: a kinetic approach
Science and culture
A dynamical model describing stock market price distributions
Physica A: Statistical Mechanics and its Applications, 2000
Statistical mechanics of nonlinear nonequilibrium financial markets
Mathematical Modelling, 1984
Statistical Mechanics of Financial Markets
Dynamical model and nonextensive statistical mechanics of a market index on large time windows
2003
Queueing Theoretic Approaches to Financial Price Fluctuations
Arxiv preprint math/0703832, 2007
Self-organized percolation model for stock market fluctuations
Physica A: Statistical Mechanics and its Applications, 1999
Scaling and criticality in a stochastic multi-agent model of a financial market
1999
Some Applications of Statistical Mechanics of Financial Markets
1998
The Complex Dynamics of a Simple Stock Market Model
hypothesis, 1995
Random Diffusion and Leverage Effect In Financial Markets
Physical Review E, 2003
A Stochastic Model of the Dynamics of Change in Stock Price
NIGERIAN ANNALS OF PURE AND APPLIED SCIENCES
Physica D: Nonlinear Phenomena, 2003
Modeling the Non-Markovian, Non-stationary Scaling Dynamics of Financial Markets
New Economic Windows, 2011
A Simple Model of Price Formation
International Journal of Modern Physics C, 2002
Multiscaling in the Cont–Bouchaud microscopic stock market model
Physica A-statistical Mechanics and Its Applications, 2001