ECONOPHYSICS — A NEW AREA FOR COMPUTATIONAL STATISTICAL PHYSICS?

A review is given on some recent applications of computational statistical physics methods to finance problems like the stock market.

[1]  Didier Sornette,et al.  The Black-Scholes option pricing problem in mathematical finance : generalization and extensions for a large class of stochastic processes , 1994 .

[2]  George J. Stigler,et al.  Public Regulation of the Securities Markets , 1964 .

[3]  J. Bouchaud,et al.  HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS , 1997, Macroeconomic Dynamics.

[4]  Zecchina,et al.  Statistical mechanics of systems with heterogeneous agents: minority games , 1999, Physical review letters.

[5]  L. Bachelier,et al.  Théorie de la spéculation , 1900 .

[6]  Zhi Huang The first 20 minutes in the Hong Kong stock market , 2000 .

[7]  P. Gopikrishnan,et al.  Inverse cubic law for the distribution of stock price variations , 1998, cond-mat/9803374.

[8]  H. Eugene Stanley,et al.  Inverse Cubic Law for the Probability Distribution of Stock Price Variations , 1998 .

[9]  Jean-Philippe Bouchaud,et al.  Mutual attractions: physics and finance , 1999 .

[10]  H. Markowitz,et al.  Investment rules, margin, and market volatility , 1989 .

[11]  Thomas Lux,et al.  The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks , 1996 .

[12]  Dietrich Stauffer Can percolation theory be applied to the stock market , 1998 .

[13]  Koichi Hamada,et al.  Statistical properties of deterministic threshold elements - the case of market price , 1992 .

[14]  S. Redner,et al.  Introduction To Percolation Theory , 2018 .

[15]  S. Solomon,et al.  A microscopic model of the stock market: Cycles, booms, and crashes , 1994 .

[16]  Yi-Cheng Zhang,et al.  Toward a theory of marginally efficient markets , 1999 .

[17]  The first 20 min in the Hong Kong stock market , 2000, cond-mat/0006145.

[18]  Rama Cont,et al.  Are financial crashes predictable , 1999 .

[19]  Moshe Levy,et al.  Microscopic Simulation of Financial Markets , 2000 .

[20]  Didier Sornette,et al.  Financial Anti-Bubbles Log-Periodicity in Gold and Nikkei Collapses , 1999, cond-mat/9901268.

[21]  Yi-Cheng Zhang,et al.  Emergence of cooperation and organization in an evolutionary game , 1997 .

[22]  D. Sornette,et al.  Self-organized percolation model for stock market fluctuations , 1999, cond-mat/9906434.