메뉴 건너뛰기




Volumn 108, Issue 19, 2011, Pages 7674-7678

Switching processes in financial markets

Author keywords

Complex systems; Econometrics; FuturICT; Phase transitions; Switching phenomena

Indexed keywords

ARTICLE; ECONOMIC ASPECT; FINANCIAL MANAGEMENT; GEOLOGICAL TIME; MARKET; PARALLEL DESIGN; PHYSICS; PRIORITY JOURNAL;

EID: 79956355835     PISSN: 00278424     EISSN: 10916490     Source Type: Journal    
DOI: 10.1073/pnas.1019484108     Document Type: Article
Times cited : (126)

References (42)
  • 1
    • 0035823152 scopus 로고    scopus 로고
    • Zipf distribution of U.S. firm sizes
    • Axtell RL (2001) Zipf distribution of U.S. firm sizes. Science 293:1818-1820.
    • (2001) Science , vol.293 , pp. 1818-1820
    • Axtell, R.L.1
  • 2
    • 21844501886 scopus 로고
    • Zipf plots and the size distribution of firms
    • Stanley MHR, et al. (1995) Zipf plots and the size distribution of firms. Economics Letters 49:453-457.
    • (1995) Economics Letters , vol.49 , pp. 453-457
    • Stanley, M.H.R.1
  • 4
    • 20244384089 scopus 로고    scopus 로고
    • Econophysics: Master curve for price-impact function
    • DOI 10.1038/421129a
    • Lillo F, et al. (2003) Econophysics: master curve for price-impact function. Nature 421:129-130. (Pubitemid 36090971)
    • (2003) Nature , vol.421 , Issue.6919 , pp. 129-130
    • Lillo, F.1    Farmer, J.D.2    Mantegna, R.N.3
  • 7
    • 0034388776 scopus 로고    scopus 로고
    • Herd behavior and aggregate fluctuations in financial markets
    • Cont R, Bouchaud JP (2000) Herd behavior and aggregate fluctuations in financial markets. Macroecon Dyn 4:170-196.
    • (2000) Macroecon Dyn , vol.4 , pp. 170-196
    • Cont, R.1    Bouchaud, J.P.2
  • 9
    • 45849145090 scopus 로고    scopus 로고
    • The structural role of weak and strong links in a financial market network
    • Garas A, Argyrakis P, Havlin S (2008) The structural role of weak and strong links in a financial market network. Eur Phys J B 63:265-271.
    • (2008) Eur Phys J B , vol.63 , pp. 265-271
    • Garas, A.1    Argyrakis, P.2    Havlin, S.3
  • 10
    • 79953318197 scopus 로고    scopus 로고
    • Correlated randomness and switching phenomena
    • Stanley HE, et al. (2010) Correlated randomness and switching phenomena. Physica A 389:2880-2893.
    • (2010) Physica A , vol.389 , pp. 2880-2893
    • Stanley, H.E.1
  • 12
    • 79051469452 scopus 로고    scopus 로고
    • Fluctuation patterns in high-frequency financial asset returns
    • Preis T, Paul W, Schneider JJ (2008) Fluctuation patterns in high-frequency financial asset returns. Europhys Lett 82:68005.
    • (2008) Europhys Lett , vol.82 , pp. 68005
    • Preis, T.1    Paul, W.2    Schneider, J.J.3
  • 13
    • 70350072419 scopus 로고    scopus 로고
    • Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets
    • Preis T, Virnau P, Paul W, Schneider JJ (2009) Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets. New J Phys 11:093024.
    • (2009) New J Phys , vol.11 , pp. 093024
    • Preis, T.1    Virnau, P.2    Paul, W.3    Schneider, J.J.4
  • 14
    • 0037037872 scopus 로고    scopus 로고
    • Volatility clustering and scaling for financial time series due to attractor bubbling
    • Krawiecki A, Holyst JA, Helbing D (2002) Volatility clustering and scaling for financial time series due to attractor bubbling. Phys Rev Lett 89:158701.
    • (2002) Phys Rev Lett , vol.89 , pp. 158701
    • Krawiecki, A.1    Holyst, J.A.2    Helbing, D.3
  • 15
    • 3042831202 scopus 로고    scopus 로고
    • A theory of power-law distributions in financial market fluctuations
    • DOI 10.1038/nature01624
    • Gabaix X, Gopikrishan P, Plerou V, Stanley HE (2003) A theory of power-law distributions in financial market fluctuations. Nature 423:267-270. (Pubitemid 40852693)
    • (2003) Nature , vol.423 , Issue.6937 , pp. 267-270
    • Gabaix, X.1    Gopikrishnan, P.2    Plerou, V.3    Stanley, H.E.4
  • 16
    • 33144465985 scopus 로고    scopus 로고
    • Criticality and phase transition in stock-price fluctuations
    • Kiyono K, Struzik ZR, Yamamoto Y (2006) Criticality and phase transition in stock-price fluctuations. Phys Rev Lett 96:068701.
    • (2006) Phys Rev Lett , vol.96 , pp. 068701
    • Kiyono, K.1    Struzik, Z.R.2    Yamamoto, Y.3
  • 18
    • 78650472010 scopus 로고    scopus 로고
    • Complex dynamics of our economic life on different scales: Insights from search engine query data
    • Preis T, Reith D, Stanley HE (2010) Complex dynamics of our economic life on different scales: insights from search engine query data. Philosophical Transactions of the Royal Society A 368:5707-5719.
    • (2010) Philosophical Transactions of the Royal Society A , vol.368 , pp. 5707-5719
    • Preis, T.1    Reith, D.2    Stanley, H.E.3
  • 19
    • 76749168863 scopus 로고    scopus 로고
    • Order-splitting and long-memory in an order-driven market
    • Yamamoto R, LeBaron B (2010) Order-splitting and long-memory in an order-driven market. Eur Phys J B 73:51-57.
    • (2010) Eur Phys J B , vol.73 , pp. 51-57
    • Yamamoto, R.1    LeBaron, B.2
  • 22
    • 40549129046 scopus 로고    scopus 로고
    • Moving average estimators of integrated variance
    • Hansen PR, Large J, Lunde A (2008) Moving average estimators of integrated variance. Econometric Rev 27:79-111.
    • (2008) Econometric Rev , vol.27 , pp. 79-111
    • Hansen, P.R.1    Large, J.2    Lunde, A.3
  • 23
    • 0037076426 scopus 로고    scopus 로고
    • Modeling the stylized facts in finance through simple nonlinear adaptive systems
    • Hommes CH (2002) Modeling the stylized facts in finance through simple nonlinear adaptive systems. Proc Natl Acad Sci USA 99:7221-7228.
    • (2002) Proc Natl Acad Sci USA , vol.99 , pp. 7221-7228
    • Hommes, C.H.1
  • 24
    • 0033545290 scopus 로고    scopus 로고
    • Scaling and criticality in a stochastic multi-agent model of a financial market
    • Lux T, Marchesi M (1999) Scaling and criticality in a stochastic multi-agent model of a financial market. Nature 397:498-500.
    • (1999) Nature , vol.397 , pp. 498-500
    • Lux, T.1    Marchesi, M.2
  • 25
    • 47749089198 scopus 로고    scopus 로고
    • Sampling student's t distribution-use of the inverse cumulative distribution function
    • Shaw WT (2006) Sampling student's t distribution-use of the inverse cumulative distribution function. Journal of Computational Finance 9:37-73.
    • (2006) Journal of Computational Finance , vol.9 , pp. 37-73
    • Shaw, W.T.1
  • 26
    • 37649027602 scopus 로고    scopus 로고
    • Leverage effect in financial markets: The retarded volatility model
    • Bouchaud JP, Matacz A, Potters M (2001) Leverage effect in financial markets: the retarded volatility model. Phys Rev Lett 87:228701.
    • (2001) Phys Rev Lett , vol.87 , pp. 228701
    • Bouchaud, J.P.1    Matacz, A.2    Potters, M.3
  • 27
    • 0348222509 scopus 로고    scopus 로고
    • Statistical theory of the continuous double auction
    • DOI 10.1088/1469-7688/3/6/307, PII S1469768803554021
    • Smith E, Farmer JD, Gillemot L, Krishnamurthy S (2003) Statistical theory of the continuous double auction. Quant Financ 3:481-514. (Pubitemid 38059170)
    • (2003) Quantitative Finance , vol.3 , Issue.6 , pp. 481-514
    • Smith, E.1    Farmer, J.D.2    Gillemot, L.3    Krishnamurthy, S.4
  • 28
    • 37248998954 scopus 로고    scopus 로고
    • Semiparametric diffusion estimation and application to a stock market index
    • Haerdle W, Kleinow T, Korostelev A, Logeay C, Platen E (2008) Semiparametric diffusion estimation and application to a stock market index. Quant Finan 8:81-92.
    • (2008) Quant Finan , vol.8 , pp. 81-92
    • Haerdle, W.1    Kleinow, T.2    Korostelev, A.3    Logeay, C.4    Platen, E.5
  • 29
    • 34447517734 scopus 로고    scopus 로고
    • Modelling the buy and sell intensity in a limit order book market
    • Hall AD, Hautsch N (2007) Modelling the buy and sell intensity in a limit order book market. J Financ Mark 10:249-286.
    • (2007) J Financ Mark , vol.10 , pp. 249-286
    • Hall, A.D.1    Hautsch, N.2
  • 30
    • 77953912172 scopus 로고    scopus 로고
    • Power laws in economics and finance
    • Gabaix X (2009) Power laws in economics and finance. Annual Review of Economics 1:255-293.
    • (2009) Annual Review of Economics , vol.1 , pp. 255-293
    • Gabaix, X.1
  • 31
    • 33645722025 scopus 로고    scopus 로고
    • Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks
    • Eisler Z, Kertesz J (2006) Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks. Phys Rev E 73:046109.
    • (2006) Phys Rev E , vol.73 , pp. 046109
    • Eisler, Z.1    Kertesz, J.2
  • 32
    • 0031360305 scopus 로고    scopus 로고
    • Coherent and random sequences in financial fluctuations
    • Vandewalle N, Ausloos M (1997) Coherent and random sequences in financial fluctuations. Physica A 246:454-459.
    • (1997) Physica A , vol.246 , pp. 454-459
    • Vandewalle, N.1    Ausloos, M.2
  • 34
    • 0001680118 scopus 로고    scopus 로고
    • Trade size, order imbalance, and the volatility volume relation
    • Chan L, Fong WM (2000) Trade size, order imbalance, and the volatility volume relation. J Financ Econ 57:247-273.
    • (2000) J Financ Econ , vol.57 , pp. 247-273
    • Chan, L.1    Fong, W.M.2
  • 35
    • 38349048307 scopus 로고    scopus 로고
    • Fitting the empirical distribution of intertrade durations
    • Politi M, Scalas E (2008) Fitting the empirical distribution of intertrade durations. Physica A 387:2025-2034.
    • (2008) Physica A , vol.387 , pp. 2025-2034
    • Politi, M.1    Scalas, E.2
  • 36
    • 57349170072 scopus 로고    scopus 로고
    • Detrended fluctuation analysis of intertrade durations
    • Jiang ZQ, Chen W, Zhou WX (2009) Detrended fluctuation analysis of intertrade durations. Physica A 388:433-440.
    • (2009) Physica A , vol.388 , pp. 433-440
    • Jiang, Z.Q.1    Chen, W.2    Zhou, W.X.3
  • 37
    • 77249175225 scopus 로고    scopus 로고
    • Switching phenomena in a system with no switches
    • Preis T, Stanley HE (2010) Switching phenomena in a system with no switches. J Stat Phys 138:431-446.
    • (2010) J Stat Phys , vol.138 , pp. 431-446
    • Preis, T.1    Stanley, H.E.2
  • 38
    • 42749102433 scopus 로고    scopus 로고
    • Common scaling patterns in intertrade times of US stocks
    • Ivanov PC, Yuen A, Podobnik B, Lee Y (2004) Common scaling patterns in intertrade times of US stocks. Phys Rev E 69:056107.
    • (2004) Phys Rev E , vol.69 , pp. 056107
    • Ivanov, P.C.1    Yuen, A.2    Podobnik, B.3    Lee, Y.4
  • 41
    • 0034727079 scopus 로고    scopus 로고
    • Simulating dynamical features of escape panic
    • Helbing D, Farkas I, Vicsek T (2000) Simulating dynamical features of escape panic. Nature 407:487-490.
    • (2000) Nature , vol.407 , pp. 487-490
    • Helbing, D.1    Farkas, I.2    Vicsek, T.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.