Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
From MaRDI portal
Publication:2668299
DOI10.1016/j.physa.2021.126546OpenAlexW3211143488MaRDI QIDQ2668299
Jiang-Cheng Li, Chen Tao, Hai-Feng Li
Publication date: 3 March 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2021.126546
econophysicsagent-based modelliquidity risk assessmentmachine learning thinkingmicrocosmic evolution models
Related Items
Uses Software
Cites Work
- Role of noise in a market model with stochastic volatility
- ARCH modeling in finance. A review of the theory and empirical evidence
- Estimating the dimension of a model
- Role of the initial conditions on the enhancement of the escape time in static and fluctuating potentials
- Inference from iterative simulation using multiple sequences
- Transport and diffusion in the Schweitzer-Ebeling-Tilch model driven by cross-correlated noises
- Forecasting price of financial market crash via a new nonlinear potential GARCH model
- Forecasting the crude oil prices based on econophysics and Bayesian approach
- The time delay restraining the herd behavior with Bayesian approach
- Dynamic behaviors and measurements of financial market crash rate
- Coherence resonance-like and efficiency of financial market
- Coherence and anti-coherence resonance of corporation finance
- Bootstrapping nonparametric prediction intervals for conditional value-at-risk with heteroscedasticity
- Maximum likelihood estimation of a migration matrix and effective population sizes in n subpopulations by using a coalescent approach
- Linking agent-based models and stochastic models of financial markets
- Effects of Lévy noise on the dynamics of sine-Gordon solitons in long Josephson junctions
- Handbook of Markov Chain Monte Carlo
- VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
- Realized Volatility
- A Reality Check for Data Snooping
- The Distribution of Realized Exchange Rate Volatility
- Dynamics of Markets
- Probability Distribution of the Residence Times in Periodically Fluctuating Metastable Systems
- Introduction to Econophysics
- Modeling and Forecasting Realized Volatility
- A new look at the statistical model identification
- Econophysics and sociophysics: recent progress and future directions. Proceedings of the international workshop Econophys-2015, Jawaharlal Nehru University and University of Delhi, New Delhi, November 27 -- December 1, 2015
