Statistical physics in foreign exchange currency and stock markets

DOI10.1016/S0378-4371(00)00271-5zbMath1059.91504OpenAlexW2094202162MaRDI QIDQ1577078

Marcel Ausloos

Publication date: 29 August 2000

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(00)00271-5

zbMATH Keywords

fractional Brownian motiondetrended fluctuation analysisshort-range correlationsmoving averageeconomic systemseconomic policyfinancial analysisfinancial cyclesfinancial index oscillationsfluctuations amplitudefluctuations signpower-law correlationsshort horizon predictabilityZipf method

Mathematics Subject Classification ID

Time-dependent statistical mechanics (dynamic and nonequilibrium) (82C99) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (17)

Strategy for investments from Zipf law(s) ⋮ Trading strategies, feedback control and market dynamics ⋮ Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates ⋮ Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression ⋮ Bounding robustness in complex networks under topological changes through majorization techniques ⋮ Speculative markets and the effectiveness of price limits ⋮ Complex Similarity and Fluctuation Dynamics of Financial Markets on Voter Interacting Dynamic System ⋮ Multifractal Hurst analysis of crude oil prices ⋮ Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates ⋮ Did long-memory of liquidity signal the European sovereign debt crisis? ⋮ Technical trading can induce long-run memory in financial markets ⋮ Stochastic resonance as a model for financial market crashes and bubbles ⋮ Characteristic time scales in the American dollar-Mexican peso exchange currency market ⋮ Multi-scaling in finance ⋮ A new measure between sets of probability distributions with applications to erratic financial behavior ⋮ Equity premium prediction: taking into account the role of long, even asymmetric, swings in stock market behavior ⋮ Symmetry/anti-symmetry phase transitions in crude oil markets

Cites Work

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• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• Detecting noise in a time series
• Introduction to Econophysics

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