Scale invariance and criticality in financial markets

Physica A: Statistical Mechanics and its Applications

Volumn 324, Issue 1-2, 2003, Pages 17-24

  Marsili, Matteo ^a,b  

^a ABDUS SALAM INTERNATIONAL CENTRE FOR THEORETICAL PHYSICS   (Italy)

^b SISSA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

GAME THEORY; INVARIANCE; TIME DOMAIN ANALYSIS;

SCALE INVARIANCE;

FINANCE;

EID: 0037562884     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01908-8     Document Type: Conference Paper

References (31)

1. Mandelbrot B.B. Fractals and Scaling in Finance. 1997;Springer, New York.
2. R.N. Mantegna, H.E. Stanley, Introduction to Econophysics: Correlations and Complexity in Finance, Cambridge University Press, Cambridge, UK, 1999.
3. Bouchaud J.-P., Potters M. Theory of Financial Risk: From Statistical Physics to Risk Management. 2000;Cambridge University Press, Cambridge, UK.
4. Farmer J.D. Comput. Sci. Eng. (IEEE). 1:1999;26-39.
5. Campbell J.Y., Lo A.W., MacKinlay A.C. The Econometrics of Financial Markets. 1997;Princeton University Press, Princeton, NJ.
6. See e.g. B. LeBaron, W.B. Arthur, R.G. Palmer, J. Econom. Dynamics Control 23 (1999); Caldarelli G., Marsili M., Zhang Y.-C. Europhys. Lett. 40:1997;479 Lux T., Marchesi M. Nature. 397:1999;498-500 Cont R., Bouchaud J.-P. Macroecon. Dyn. 4:2000;170 Levy H., Levy M., Solomon S. From Investor Behavior to Market Phenomena. 2000;Academic Press, London, J.D. Farmer, S. Joshi, Santa Fe Institute working paper 99-10-071.
7. See e.g. B. LeBaron, W.B. Arthur, R.G. Palmer, J. Econom. Dynamics Control 23 (1999); Caldarelli G., Marsili M., Zhang Y.-C. Europhys. Lett. 40:1997;479 Lux T., Marchesi M. Nature. 397:1999;498-500 Cont R., Bouchaud J.-P. Macroecon. Dyn. 4:2000;170 Levy H., Levy M., Solomon S. From Investor Behavior to Market Phenomena. 2000;Academic Press, London, J.D. Farmer, S. Joshi, Santa Fe Institute working paper 99-10-071.
8. See e.g. B. LeBaron, W.B. Arthur, R.G. Palmer, J. Econom. Dynamics Control 23 (1999); Caldarelli G., Marsili M., Zhang Y.-C. Europhys. Lett. 40:1997;479 Lux T., Marchesi M. Nature. 397:1999;498-500 Cont R., Bouchaud J.-P. Macroecon. Dyn. 4:2000;170 Levy H., Levy M., Solomon S. From Investor Behavior to Market Phenomena. 2000;Academic Press, London, J.D. Farmer, S. Joshi, Santa Fe Institute working paper 99-10-071.
9. See e.g. B. LeBaron, W.B. Arthur, R.G. Palmer, J. Econom. Dynamics Control 23 (1999); Caldarelli G., Marsili M., Zhang Y.-C. Europhys. Lett. 40:1997;479 Lux T., Marchesi M. Nature. 397:1999;498-500 Cont R., Bouchaud J.-P. Macroecon. Dyn. 4:2000;170 Levy H., Levy M., Solomon S. From Investor Behavior to Market Phenomena. 2000;Academic Press, London, J.D. Farmer, S. Joshi, Santa Fe Institute working paper 99-10-071.
10. See e.g. B. LeBaron, W.B. Arthur, R.G. Palmer, J. Econom. Dynamics Control 23 (1999); Caldarelli G., Marsili M., Zhang Y.-C. Europhys. Lett. 40:1997;479 Lux T., Marchesi M. Nature. 397:1999;498-500 Cont R., Bouchaud J.-P. Macroecon. Dyn. 4:2000;170 Levy H., Levy M., Solomon S. From Investor Behavior to Market Phenomena. 2000;Academic Press, London, J.D. Farmer, S. Joshi, Santa Fe Institute working paper 99-10-071.
11. See e.g. B. LeBaron, W.B. Arthur, R.G. Palmer, J. Econom. Dynamics Control 23 (1999); Caldarelli G., Marsili M., Zhang Y.-C. Europhys. Lett. 40:1997;479 Lux T., Marchesi M. Nature. 397:1999;498-500 Cont R., Bouchaud J.-P. Macroecon. Dyn. 4:2000;170 Levy H., Levy M., Solomon S. From Investor Behavior to Market Phenomena. 2000;Academic Press, London, J.D. Farmer, S. Joshi, Santa Fe Institute working paper 99-10-071.
12. Challet D., Zhang Y.-C. Physica A. 246:1997;407 Zhang Y.-C. Europhys. News. 29:1998;51.
13. Challet D., Zhang Y.-C. Physica A. 246:1997;407 Zhang Y.-C. Europhys. News. 29:1998;51.
14. Challet D.et al. Quantitative Finance. 1:2001;168.
15. Challet D., Marsili M., Zhang Y.-C. Physica A. 294:2001;514.
16. Berg J.et al. Quantitative Finance. 1:2001;203.
17. Giada L., Marsili M. Phys. Rev. E. 63:2001;1101.
18. Giada L., Marsili M. Physica A. 315:2002;650.
19. Arthur W.B. Am. Ec. Res. 84:1994;406.
20. Challet D., Marsili M., Zecchina R. Phys. Rev. Lett. 84:2000;1824.
21. Marsili M., Challet D. Phys. Rev. E. 64:2001;056 138.
22. D. Challet, M. Marsili, e-print cond-mat 0210549 (2002).
23. Challet D., Marsili M., Zhang Y.-C. Physica A. 276:2000;284.
24. Marsili M. Physica A. 299:2001;93.
25. Challet D., Marsili M. Phys. Rev. E. 60:1999;R6271.
26. Bouchaud J.-P., Giardina I., Mezard M. Quantitative Finance. 1:2001;212.
27. Laloux, et al., Phys. Rev. Lett. 83 (1999) 1467; Plerou V.et al. Phys. Rev. Lett. 83:1999;1471.
28. Laloux, et al., Phys. Rev. Lett. 83 (1999) 1467; Plerou V.et al. Phys. Rev. Lett. 83:1999;1471.
29. Mantegna R.N. Eur. Phys. J. B. 11:1999;193.
30. Gopikrishnan P.et al. Phys. Rev. E. 64:2001;035 106.
31. Marsili M. Quantitative Finance. 2:2002;297.