-
2
-
-
0001138028
-
Brownian motion in the stock market
-
Osborne MFM (1959) Brownian motion in the stock market. Operations Research 7: 145-173.
-
(1959)
Operations Research
, vol.7
, pp. 145-173
-
-
Osborne, M.F.M.1
-
3
-
-
0001504360
-
The variation of certain speculative prices
-
Mandelbrot B (1963) The variation of certain speculative prices. J Business 36: 394-419.
-
(1963)
J Business
, vol.36
, pp. 394-419
-
-
Mandelbrot, B.1
-
4
-
-
0002528209
-
The behavior of stock-market prices
-
Fama EF (1965) The behavior of stock-market prices. J Business 38: 34-105.
-
(1965)
J Business
, vol.38
, pp. 34-105
-
-
Fama, E.F.1
-
5
-
-
8344223565
-
Scaling behaviour in the dynamics of an economic index
-
Mantegna RN, Stanley HE (1995) Scaling behaviour in the dynamics of an economic index. Nature 376: 46-49.
-
(1995)
Nature
, vol.376
, pp. 46-49
-
-
Mantegna, R.N.1
Stanley, H.E.2
-
6
-
-
1842766449
-
Theory of Financial Risks and Derivative Pricing
-
U.K.: Cambridge Univ. Press, second edition
-
Bouchaud JP, Potters M (2003) Theory of Financial Risks and Derivative Pricing. Cambridge, U.K.: Cambridge Univ. Press, second edition.
-
(2003)
Cambridge
-
-
Bouchaud, J.P.1
Potters, M.2
-
7
-
-
3042831202
-
A theory of power-law distributions in financial market fluctuations
-
Gabaix X, Gopikrishnan P, Plerou V, Stanley HE (2003) A theory of power-law distributions in financial market fluctuations. Nature 423: 267-270.
-
(2003)
Nature
, vol.423
, pp. 267-270
-
-
Gabaix, X.1
Gopikrishnan, P.2
Plerou, V.3
Stanley, H.E.4
-
8
-
-
0141886372
-
The origin of fat-tailed distributions in financial time series
-
Viswanathan GM, Fulco UL, Lyra ML, Serva M (2003) The origin of fat-tailed distributions in financial time series. Physica A 329: 273-280.
-
(2003)
Physica A
, vol.329
, pp. 273-280
-
-
Viswanathan, G.M.1
Fulco, U.L.2
Lyra, M.L.3
Serva, M.4
-
9
-
-
11344278911
-
What really causes large price changes?
-
Farmer JD, Gillemot L, Lillo F, Mike S, Sen A (2004) What really causes large price changes? Quant Finance 4: 383-397.
-
(2004)
Quant Finance
, vol.4
, pp. 383-397
-
-
Farmer, J.D.1
Gillemot, L.2
Lillo, F.3
Mike, S.4
Sen, A.5
-
10
-
-
36849021413
-
Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets
-
Bassler KE, McCauley JL, Gunaratne GH (2007) Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets. Proc Natl Acad Sci USA 104: 17287-17290.
-
(2007)
Proc Natl Acad Sci USA
, vol.104
, pp. 17287-17290
-
-
Bassler, K.E.1
McCauley, J.L.2
Gunaratne, G.H.3
-
11
-
-
0037304086
-
Statistical physics and economic fluctuations: Do outliers exist?
-
Stanley HE (2003) Statistical physics and economic fluctuations: do outliers exist? Physica A 318: 279-292.
-
(2003)
Physica A
, vol.318
, pp. 279-292
-
-
Stanley, H.E.1
-
12
-
-
0000996594
-
A compound events model for security prices
-
Press SJ (1967) A compound events model for security prices. J Business 40: 317-335.
-
(1967)
J Business
, vol.40
, pp. 317-335
-
-
Press, S.J.1
-
13
-
-
0002370531
-
The distribution of share price changes
-
Praetz PD (1972) The distribution of share price changes. J Business 45: 49-55.
-
(1972)
J Business
, vol.45
, pp. 49-55
-
-
Praetz, P.D.1
-
14
-
-
0000346734
-
A subordinated stochastic process model with finite variance for speculative prices
-
Clark PK (1973) A subordinated stochastic process model with finite variance for speculative prices. Econometrica 41: 135-155.
-
(1973)
Econometrica
, vol.41
, pp. 135-155
-
-
Clark, P.K.1
-
15
-
-
0000699975
-
A comparison of the stable and student distributions as statistical models for stock prices
-
Blattberg RC, Gonedes NJ (1974) A comparison of the stable and student distributions as statistical models for stock prices. J Business 47: 244-280.
-
(1974)
J Business
, vol.47
, pp. 244-280
-
-
Blattberg, R.C.1
Gonedes, N.J.2
-
16
-
-
0001198488
-
The stable paretian hypothesis and the frequency of large returns: An examination of major german stocks
-
Lux T (1996) The stable paretian hypothesis and the frequency of large returns: an examination of major german stocks. Applied Financial Economics 6: 463-475.
-
(1996)
Applied Financial Economics
, vol.6
, pp. 463-475
-
-
Lux, T.1
-
18
-
-
0031161196
-
Intraday periodicity and volatility persistence in financial markets
-
Andersen TG, Bollerslev T (1997) Intraday periodicity and volatility persistence in financial markets. J of Empirical Finance 4: 115-158.
-
(1997)
J of Empirical Finance
, vol.4
, pp. 115-158
-
-
Andersen, T.G.1
Bollerslev, T.2
-
19
-
-
0001474588
-
Power laws in economics and finance: Some ideas from physics
-
Bouchaud JP (2001) Power laws in economics and finance: some ideas from physics. Quant Finance 1: 105-112.
-
(2001)
Quant Finance
, vol.1
, pp. 105-112
-
-
Bouchaud, J.P.1
-
20
-
-
36549079664
-
A Benchmark Approach to Quantitative Finance
-
Springer: Verlag
-
Platen E, Heath D (2006) A Benchmark Approach to Quantitative Finance. Berlin: Springer: Verlag.
-
(2006)
Berlin
-
-
Platen, E.1
Heath, D.2
-
21
-
-
0001263124
-
A simple general approach to inference about the tail of a distribution
-
Hill BM (1975) A simple general approach to inference about the tail of a distribution. The Annals of Statistics 3: 1163-1174.
-
(1975)
The Annals of Statistics
, vol.3
, pp. 1163-1174
-
-
Hill, B.M.1
-
22
-
-
30744434704
-
-
Selected Readings. USA: Oxford Univ. Press
-
Shephard N (2005) Stochastic Volatility: Selected Readings. USA: Oxford Univ. Press.
-
(2005)
Stochastic Volatility
-
-
Shephard, N.1
-
23
-
-
0842316847
-
Arch models as diffusion approximations
-
Nelson DB (1990) Arch models as diffusion approximations. J Econometrics 45: 7-38.
-
(1990)
J Econometrics
, vol.45
, pp. 7-38
-
-
Nelson, D.B.1
|