Arbitrage-free self-organizing markets with GARCH properties: Generating them in the lab with a lattice model-Reference-Cited by-同舟云学术

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Arbitrage-free self-organizing markets with GARCH properties: Generating them in the lab with a lattice model

Published:2012-09 Issue:18 Volume:391 Page:4350-4363
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Dupoyet B.,Fiebig H.R.,Musgrove D.P.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference18 articles.

1. Théorie de la spéculation;Bachelier;Annales Scientifiques de l’École Normale Supérieure Série,1900

2. Autoregressive conditional heteroscedasticity with estimates of variance of united kingdom inflation;Engle;Econometrica,1982

3. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

4. The variation of certain speculative prices;Mandelbrot;Journal of Business,1963

5. Scaling behaviour in the dynamics of an economic index;Mantegna;Nature,1995

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A model for stocks dynamics based on a non-Gaussian path integral;Physica A: Statistical Mechanics and its Applications;2019-03

2. A path integral based model for stocks and order dynamics;Physica A: Statistical Mechanics and its Applications;2018-11

3. Stochastic GARCH dynamics describing correlations between stocks;Physica A: Statistical Mechanics and its Applications;2014-09

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