SCOPUS 정보 검색 플랫폼

Physica A: Statistical Mechanics and its Applications

Volumn 302, Issue 1-4, 2001, Pages 126-137

Quantifying economic fluctuations

(5) Stanley, H Eugene a Nunes Amaral, Luis A a Gabaix, Xavier b Gopikrishnan, Parameswaran a Plerou, Vasiliki a

a Boston University (United States)

b MASSACHUSETTS INSTITUTE OF TECHNOLOGY (United States)

Author keywords

Economics; Econophysics; Firm growth; Gross domestic product (GDP); L vy distribution; Random matrix theory; Volatility

Indexed keywords

CORRELATION METHODS; ECONOMICS; MATRIX ALGEBRA; PHASE TRANSITIONS; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES;

ECONOPHYSICS; RANDOM MATRIX THEORY (RMT);

STATISTICAL TESTS;

EID: 0035894769 PISSN: 03784371 EISSN: None Source Type: Journal
DOI: 10.1016/S0378-4371(01)00504-0 Document Type: Conference Paper

Times cited : (11)

References (49)

1
- 0033100060
- Scaling, universality, and renormalization: Three pillars of modern critical phenomena
- (1999) Rev. Mod. Phys. , vol.71
- Stanley, H.E.¹

2
- 0003688207
- Cambridge University Press, Cambridge, (Japanese Translation: Masumi Nakajima, Economist-sha, Tokyo)
- (1999) An Introduction to Econophysics: Correlations and Complexity in Finance
- Mantegna, R.N.¹ Stanley, H.E.²

3
- 0003568319
- Diamond, Tokyo, Springer, Berlin
- (2000) Seimei no Rinkai Yuragi (English translation: Critical Fluctuations in Economics, Information and Life)
- Takayasu, H.¹ Takayasu, M.² Keizai, J.³

4
- 0003460124
- Cambridge University Press, Cambridge
- (2000) Theory of Financial Risk
- Bouchaud, J.P.¹ Potters, M.²

5
- 0004052344
- Academic Press, New York
- (2000) Microscopic Simulation of Financial Markets
- Levy, H.¹ Levy, M.² Solomon, S.³

6
- 0003898007
- Springer, Berlin
- (2001) Hidden Collective Factors in Speculative Trading
- Roehner, B.M.¹

7
- 0004189345
- Springer, Berlin
- (1999) Stochastic Processes from Physics to Finance
- Paul, W.¹ Baschnagel, A.²

8
- 0003402946
- Springer, Berlin
- (2001) The Statistical Mechanics of Financial Markets
- Voit, J.¹

9
- 0003684768
- Princeton University Press, Princeton
- (1954) Seismicity of the Earth and Associated Phenomenon, 2nd Edition
- Gutenberg, B.¹ Richter, C.F.²

10
- 85040955697
- Cambridge University Press, Cambridge
- (1992) Fractals and Chaos in Geology and Geophysics
- Turcotte, D.L.¹

11
- 0001198488
- The stable Paretian hypothesis and the frequency of large returns: An examination of major German stocks
- (1996) Appl. Financial Econom. , vol.6 , pp. 463-475
- Lux, T.¹

12
- 0242290729
- Scaling of the distribution of price fluctuations of individual companies
- (1999) Phys. Rev. E , vol.60 , pp. 6519-6529
- Plerou, V.¹ Gopikrishnan, P.² Amaral, L.A.N.³ Meyer, M.⁴ Stanley, H.E.⁵

13
- 0002577463
- Heavy tails in high-frequency financial data
- R.J. Adler, R.E. Feldman, M.S. Taqqu (Eds.), Birkhäuser Publishers, Basel
- (1998) A Practical Guide to Heavy Tails , pp. 83-311
- Muller, U.A.¹ Dacorogna, M.M.² Pictet, O.V.³

14
- 0002626689
- Varieties of Long Memory Models
- (1996) J. Econometrics , vol.73 , pp. 61
- Granger, C.W.J.¹ Ding, Z.²

15
- 0001571132
- The statistical properties of the volatility of price fluctuations
- (1999) Phys. Rev. E , vol.60 , pp. 1390-1400
- Liu, Y.¹ Gopikrishnan, P.² Cizeau, P.³ Meyer, M.⁴ Peng, C.-K.⁵ Stanley, H.E.⁶

16
- 0003709867
- Wiley, New York
- (1999) Financial markets tick by tick , pp. 91
- Lundin, M.¹ Dacorogna, M.M.² Muller, U.A.³

17
- 0004052344
- Academic Press, Boston
- (2000) Microscopic Simulation of Financial Markets
- Levy, M.¹ Levy, H.² Solomon, S.³

18
- 0001474588
- Power laws in economics and finance: Some ideas from physics
- (2001) Quant. Finance , vol.1 , pp. 105-112
- Bouchaud, J.-P.¹

19
- 0034272241
- Diffusion and economic fluctuations
- (2000) Phys. Rev. E , vol.62
- Plerou, V.¹ Gopikrishnan, P.² Amaral, L.A.N.³ Gabaix, X.⁴ Stanley, H.E.⁵

20
- 0035395850
- Effect of trends on detrended fluctuation analysis
- (2001) Phys. Rev. E , vol.64 , pp. 0111141-01111419
- Hu, K.¹ Chen, Z.² Ivanov, P.Ch.³ Carpena, P.⁴ Stanley, H.E.⁵

21
- 0008117363
- cond-mat/0005430
- Shatner, M.¹ Muchnik, L.² Leshno, M.³ Solomon, S.⁴

22
- 0008073768
- cond-mat/0012156
- Bouchaud, J.-P.¹ Giardina, I.² Mezard, M.³

23
- 0034297475
- Statistical properties of share volume traded in financial markets
- (2000) Phys. Rev. E , vol.62 , pp. 4493-4496
- Gopikrishnan, P.¹ Plerou, V.² Gabaix, X.³ Stanley, H.E.⁴

24
- 84919214538
- Price variability and volume: A review
- (1987) J. Financial Quant. Anal. , vol.22 , pp. 109
- Karpoff, J.¹

25
- 0000658999
- The price variability-volume relationship on speculative markets
- (1983) Econometrica , vol.57 , pp. 485-505
- Tauchen, G.¹ Pitts, M.²

26
- 0000756720
- The stochastic dependence of security price changes and transaction volumes: Implications of the mixture-of-distributions hypothesis
- (1976) Econometrica , vol.44 , pp. 305-321
- Epps, T.W.¹ Epps, M.L.²

27
- 0000346734
- A subordinated stochastic process model with finite variance for speculative prices
- (1973) Econometrica , vol.41 , pp. 135-155
- Clark, P.K.¹

28
- 21844494968
- Transactions, volumes and volatility
- (1994) Rev. Financial Stud. , vol.7 , pp. 631-651
- Jones, C.¹ Gautam, K.² Lipson, M.³

29
- 84890656542
- Princeton University Press, Princeton, NJ
- (1997) The Econometrics of Financial Markets
- Campbell, J.¹ Lo, A.W.² MacKinlay, A.³

30
- 18344388346
- Noise dressing of financial correlation matrices
- (1999) Phys. Rev. Lett. , vol.83 , pp. 1467
- Laloux, L.¹ Cizeau, P.² Bouchaud, J.-P.³ Potters, M.⁴

31
- 0000656722
- Universal and nonuniversal properties of financial cross-correlation matrices
- (1999) Phys. Rev. Lett. , vol.83 , pp. 1471
- Plerou, V.¹ Gopikrishnan, P.² Rosenow, B.³ Amaral, L.A.N.⁴ Stanley, H.E.⁵

32
- 0035441899
- Quantifying and interpreting collective behavior in financial markets
- (2001) Phys. Rev. E , vol.64 , pp. 0351061-0351064
- Gopikrishnan, P.¹ Rosenow, B.² Plerou, V.³ Stanley, H.E.⁴

33
- 4243559159
- preprint
- Random matrix theory and portfolio optimization
- Rosenow, B.¹ Plerou, V.² Gopikrishnan, P.³ Stanley, H.E.⁴

34
- 26144467740
- A random matrix approach to financial cross-correlations
- submitted
- Phys. Rev. E
- Plerou, V.¹ Gopikrishnan, P.² Rosenow, B.³ Amaral, L.A.N.⁴ Guhr, T.⁵ Stanley, H.E.⁶

35
- 0342936408
- (2000) Physica A , vol.287 , pp. 440
- Drozdz, S.¹ Gruemmer, F.² Ruf, F.³ Speth, J.⁴

36
- 0000917933
- (2000) Phys. Rev. E , vol.61 , pp. 5981
- Noh, J.D.¹

37
- 0008118794
- e-print cond-mat/0003241
- Marsili, M.¹

38
- 0035441899
- Quantifying and interpreting collective behavior in financial markets
- (2001) Phys. Rev. E , vol.64 , pp. 0351061-0351064
- Gopikrishnan, P.¹ Rosenow, B.² Plerou, V.³ Stanley, H.E.⁴

39
- 0003558943
- Wiley, New York
- (1982) Aspects of Multivariate Statistical Theory
- Muirhead, R.¹

40
- 0000193549
- The distribution of singular values of certain random matrices
- (1971) Rev. Mex. Fís. , vol.20 , pp. 231
- Dyson, F.J.¹

41
- 0000249632
- Distributions of singular values for some random matrices
- (1999) Phys. Rev. E , vol.60 , pp. 3389
- Sengupta, A.M.¹ Mitra, P.P.²

42
- 0039165794
- Random-Matrix theories in quantum physics: Common concepts
- (1998) Phys. Reports , vol.299 , pp. 189-425
- Guhr, T.¹ Müller-Groeling, A.² Weidenmüller, H.A.³

43
- 0000119298
- (1999) Eur. Phys. J. B , vol.11 , pp. 193
- Mantegna, R.N.¹

44
- 0008026718
- e-print cond-mat/0009350
- Bonanno, G.¹ Lillo, F.² Mantegna, R.N.³

45
- 35949034972
- (1977) Rev. Mod. Phys. , vol.49 , pp. 435
- Hohenberg, P.C.¹ Halperin, B.I.²

46
- 0004164584
- Benjamin, Reading, MA
- (1976) Modern Theory of Critial Phenomena
- Ma, S.-K.¹

47
- 0004346150
- cond-mat 0106657, preprint
- Quantifying stock price response to demand fluctuations
- Plerou, V.¹ Gopikrishnan, P.² Gabaix, X.³ Stanley, H.E.⁴

48
- 0003999855
- Oxford University Press, Oxford
- (1971) Introduction to Phase Transitions and Critical Phenomena
- Stanley, H.E.¹

49
- 4243502551
- preprint
- Critical threshold and symmetry breaking in stock demand
- Plerou, V.¹ Gopikrishnan, P.² Stanley, H.E.³

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.