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Analyzing the financial crisis using the entropy density function

Published:2015-02 Issue: Volume:419 Page:464-469
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:

Oh Gabjin,Kim Ho-yong,Ahn Seok-Won,Kwak Wooseop

Funder

National Research Foundation of Korea (NRF)

Korea Research Foundation Grant

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference30 articles.

1. Identifying sates of a financial market;Münnix;Sci. Rep.,2012

2. Order flow dynamics around extreme price changes on an emerging stock market;Mu;New J. Phys.,2010

3. Modeling and simulation of a double auction artificial financial market;Raberto;Physica A,2005

4. Scaling and memory in volatility return intervals in financial markets;Yamasaki;Proc. Natl. Acad. Sci.,2005

5. Multifactor analysis of multiscaling in volatility return intervals;Wang;Phys. Rev. E,2009

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