Model space of economic events

Physica A: Statistical Mechanics and its Applications

Volumn 265, Issue 1-2, 1999, Pages 264-278

  Romanovsky, M Yu ^a  

^a PROKHOROV GENERAL PHYSICS INSTITUTE   (Russian Federation)

Author keywords

Levy distribution; Model space; S P500

Indexed keywords

COMPUTATIONAL METHODS; CORRELATION METHODS; ECONOMICS; FINANCE; MATHEMATICAL MODELS; PROBABILITY; RANDOM PROCESSES;

LEVY DISTRIBUTION; PHENOMENOLOGICAL MODEL; STOCK MARKET;

STATISTICAL MECHANICS;

EID: 0033098393     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(98)00566-4     Document Type: Article

References (24)

1. R. Mantegna, H. Stanley, Nature 376 (1995) 46.
2. W. Ebeling, Physica D 109 (1997) 42.
3. V. Pareto, Cours d'Economique Politique, vol. 2, Gauthier-Villars, Paris, 1897.
4. L.J. Bachelier, Theorie de la Speculation, Gauthier-Villars, Paris, 1900.
5. M. Levy, H. Levy, S. Solomon, Econom. Lett. 94 (1994) 103.
6. G. Caldarelli, M. Marsili, Y.-C. Zhang, Cond-mat. preprint 9709118, 1997.
7. S. Goontilake, P. Treleaven (Eds.), Intelligent Systems for Finance and Business, Wiley, 1995.
8. B. Mandelbrot J. Business Univ. Chicago 39 (1966/67) 393.
9. T. Hellhalter, Int. J. Mod. Phys. C6 (1995) 845.
10. C. Tsallis, A.M.C. de Sousa, E.M.F. Curado, Chaos, Solitons and Fractals 6 (1995) 561.
11. S. Ghasghaie, W. Breymann, J. Peinke et al., Nature 381 (1996) 767.
12. V. Gafiychuk, I. Lubashevsky, J. Environ. Systems 25 (2) (1996-97) 159.
13. E. Bruckner, W. Ebeling, M.A. Jimenez Montano, A. Scharnhorst, J. Evol. Econom. 6 (1996) 1.
14. M. Shlesinger, G. Zaslavsky, J. Klafter, Nature 363 (1993) 31.
15. B.B. Mandelbrot, Fractals: Form, Chance, and Dimension, Freeman, San Francisco, 1977.
16. J. Holtsmark, Ann. Physik. 58 (1919) 577.
17. W. Ebeling, Karmesnu, A. Scharnhorst in: J. Kertesz, I. Kondor (Eds.), Econophysics, Kluwer, Amsterdam, 1998.
18. A. Alastuey, J.L. Lebowitz, D. Levesque, Phys. Rev. A. 43 (1991) 2573.
19. E. Landau, E. Lifshitz, Mechanics, Pergamon Press, Oxford, 1958.
20. D. Ivanenko, A. Sokolov, Classical Field Theory, GITTE, Moscow, 1951 (in Russian).
21. E. Landau, E. Lifshitz, Field Theory, Pergamon Press, Oxford, 1958.
22. E. Lifshitz, E. Pitaevsky, Physical Kinetics, Nauka, Moscow, 1979 (in Russian).
23. M. Baranger, B. Moser, Phys. Rev. 115 (1959) 521.
24. M. Baranger, B. Moser, Phys. Rev. 118 (1960) 626.