Thermodynamic analogies in economics and finance: instability of markets

DOI10.1016/S0378-4371(03)00591-0zbMath1056.91023OpenAlexW2084466685MaRDI QIDQ1409098

Joseph L. McCauley

Publication date: 5 October 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(03)00591-0

zbMATH Keywords

market liquidityinvariancesno-arbitrage condition

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (4)

Information entropy as a basic building block of complexity theory ⋮ Understanding price discovery in interconnected markets: generalized Langevin process approach and simulation ⋮ Scaling, correlations, and cascades in finance and turbulence ⋮ A statistical test of Walrasian equilibrium by means of complex networks theory

Cites Work

• The Pricing of Options and Corporate Liabilities
• An empirical model of volatility of returns and option pricing
• The futility of utility: how market dynamics marginalize Adam Smith
• Competitive Equilibrium Under Uncertainty
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