Testing for nonlinearity in time series: the method of surrogate data
Conference proceedings on Interpretation of time series from nonlinear mechanical systems
Modelling extremal events: for insurance and finance
Modelling extremal events: for insurance and finance
Heavy tails in high-frequency financial data
A practical guide to heavy tails
Computational Economics
An introduction to econophysics: correlations and complexity in finance
An introduction to econophysics: correlations and complexity in finance
Modeling Expectations with GENEFER – an Artificial Intelligence Approach
Computational Economics
Modeling Exchange Rate Behaviorwith a Genetic Algorithm
Computational Economics
Interactive estimation of agent-based financial markets models: modularity and learning
GECCO '05 Proceedings of the 7th annual conference on Genetic and evolutionary computation
Decision Support Systems
On the use of memory and resources in minority games
ACM Transactions on Autonomous and Adaptive Systems (TAAS)
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Physicists have recently begun doing research in finance and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including empirical statistical properties of prices, random process models for price dynamics, agent-based modeling, and practical applications.