Generalized persistence probability in a dynamic economic index

DOI10.1016/S0375-9601(03)00759-XzbMath1049.91117MaRDI QIDQ1394706

D. Massart

Publication date: 23 June 2003

Published in: Physics Letters. A (Search for Journal in Brave)

zbMATH Keywords

time seriesscaling behaviortimely nonlocal behavior

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

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Cites Work

• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
• Global persistence in directed percolation
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Non-trivial exponents in the zero temperature dynamics of the 1D Ising and Potts models
• PERSISTENCE PROBABILITY IN FINANCIAL DYNAMICS
• Stylized facts of financial markets and market crashes in Minority Games
• Similarities and differences between physics and economics
• Microscopic models for long ranged volatility correlations
• Volatility driven market in a generalized Lotka-Volterra formalism

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