Persistence probability in financial dynamics

Modern Physics Letters B

Volumn 16, Issue 21, 2002, Pages 775-782

  Zheng, B ^a,b  

^a ZHEJIANG UNIVERSITY   (China)

^b MARTIN LUTHER UNIVERSITY HALLE WITTENBERG   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

ARTICLE; DYNAMICS; FINANCE; GERMANY; MATHEMATICAL ANALYSIS; PHENOMENOLOGY; PROBABILITY;

EID: 0037057181     PISSN: 02179849     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0217984902004494     Document Type: Article

References (31)

1. R. N. Mantegna and H. E. Stanley, Nature 376, 46 (1995).
2. S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner and Y. Dodge, Nature 381, 767 (1996).
3. R. N. Mantegna and H. E. Stanley, Nature 383, 587 (1996).
4. D. Sornette, A. Johansen and J.-P. Bouchaud, J. Phys. I France 6, 167 (1996).
5. J. A. Feigenbaum and P. G. O. Freund, Int. J. Mod. Phys. B10, 3737 (1996).
6. D. Stauffer and T. J. P. Penna, Physica A256, 284 (1998).
7. L. Laloux, P. Cizeau, J.-P. Bouchaud and M. Potters, Phys. Rev. Lett. 83, 1467 (1999).
8. V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. N. Amaral and H. E. Stanley, Phys. Rev. Lett. 83, 1471 (1999).
9. T. Lux and M. Marchesi, Nature 397, 498 (1999).
10. H. E. Stanley, L. A. N. Amaral, X. Gabaix, P. Gopikrishnan and V. Plerou, Physica A299, 1 (2001).
11. I. Giardina, J. P. Bouchaud and M. Mézard, Physica A299, 28 (2001).
12. P. Gopikrishnan, V. Plerou, L. A. N. Amaral, M. Meyer and H. E. Stanley, Phys. Rev. E60, 5305 (1999).
13. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C.-K. Peng and H. E. Stanley, Phys. Rev. E60, 1390 (1999).
14. N. Vandevalle, Ph. Boveroux, A. Minguet and M. Ausloos, Physica A255, 201 (1998).
15. S. Drożdż, F. Ruf, J. Speth and M. Wójcik, Eur. Phys. J. B10, 589 (1999).
16. R. Cont and J.-P. Bouchaud, Macroeconomic Dyn. 4, 170 (2000).
17. D. Stauffer, P. M. C. de Oliveria and A. T. Bernardes, Int. J. Theor. Appl. Finance 2, 83 (1999).
18. D. Challet and Y. C. Zhang, Physica A246, 407 (1997).
19. B. Bak, C. Tang and K. Wiesenfeld, Phys. Rev. Lett. 59, 381 (1987).
20. M. Nelkin, Adv. Phys. 43, 143 (1994).
21. H. K. Janssen, B. Schaub and B. Schmittmann, Z. Phys. B73, 539 (1989).
22. D. A. Huse, Phys. Rev. B40, 304 (1989).
23. B. Zheng, Int. J. Mod. Phys. B12, 1419 (1998), review article.
24. B. Zheng, M. Schulz and S. Trimper, Phys. Rev. Lett. 82, 1891 (1999).
25. A. J. Bray, Adv. Phys. 43, 357 (1994), and references therein.
26. S. N. Majumdar, A. J. Bray, S. Cornell and C. Sire, Phys. Rev. Lett. 77, 3704 (1996).
27. S. N. Majumdar, Curr. Sci. India 77, 370 (1999).
28. B. Derrida, A. J. Bray and C. Godréche, J. Phys. A27, L357 (1994).
29. S. N. Majumdar, C. Sire, A. J. Bray and S. Cornell, Phys. Rev. Lett. 77, 2867 (1996).
30. K. Oerding and F. van Wijland, J. Phys. A31, 7011 (1998).
31. B. Zheng, Mod. Phys. Lett. B13, 631 (1999).