ON THE STATISTICAL PHYSICS CONTRIBUTION TO QUANTITATIVE FINANCE

DOI10.1142/S021797920402432XzbMath1073.91060MaRDI QIDQ5312123

Maria I. Loffredo

Publication date: 30 August 2005

Published in: International Journal of Modern Physics B (Search for Journal in Brave)

zbMATH Keywords

Statistical physicseconophysicsquantitative finance

Mathematics Subject Classification ID

Time-dependent statistical mechanics (dynamic and nonequilibrium) (82C99) Mathematical economics (91B99)

Related Items (2)

Boltzmann-Gibbs distribution of fortune and broken time reversible symmetry in econodynamics ⋮ Multi-scaling in finance

Cites Work

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• Multifractal detrended fluctuation analysis of nonstationary time series
• Generalized autoregressive conditional heteroscedasticity
• Volatility in financial markets: Stochastic models and empirical results
• Scaling behaviors in differently developed markets
• Statistical mechanics of complex networks
• Nonlinear Time Series Analysis
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Introduction to Econophysics

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