【量化研究】金融市场的非马尔科夫、非稳态尺度动态模型
由ypyu创建，最终由ypyu 被浏览 5 用户
References
1. Scholz CH (2002) The Mechanics of Earthquakes and Faulting. Cambridge University Press, New York
2. Lu ET, Hamilton RJ, McTiernan JM, Bromond KR (1993) Solar flares and avalanches in driven dissipative systems. Astrophys. J. 412: 841–852
3. Bjornstad ON, Grenfell BT (2001) Noisy clockwork: time series analysis of population fluctuations in animals. Science 293: 638–643
4. Cont R (2001) Empirical properties of asset returns: stylized facts and statistical issues. Quant. Finance 1: 223–236
5. Baldovin F, Stella AL (2007) Scaling and efficiency determine the irreversible evolution of a market. Proc. Natl. Acad. Sci. 104: 19741–19744
6. Stella AL, Baldovin F (2008) Role of scaling in the statistical modeling of Finance. Pramana – Journal of Physics 71, 341–352
7. 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
8. D. Challet and P.P. Peirano (2008) The ups and downs of the renormalization group applied to financial time series. arXiv:0807.4163
9. A. Andreoli, F. Caravenna, P. Dai Pra, G. Posta (2010) Scaling and multiscaling in financial indexes: a simple model. arXiv:1006.0155
10. De Benedetti PG, Stillinger FH (2001) Supercooled liquids and the glass transition. Nature 410: 259–267
11. Stella AL, Baldovin F (2010) Anomalous scaling due to correlations: Limit theorems and self-similar processes. J. Stat. Mech. P02018
12. Gheorghiu S, Coppens MO (2004) Heterogeneity explains features of “anomalous” thermodynamics and statistics. Proc. Natl. Acad. Sci. USA 101: 15852–15856
13. Bouchaud JP, Potters M (2000) Theory of Financial Risks Cambridge University Press, Cambridge, UK
14. Heston L (1993) A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The Review of Financial Studies 6: 327–343
15. Gatheral J (2006) The volatility surface: a practitioner’s guide. J. Wiley and Sons, New Jersey
16. Fouque JP, Papanicolaou G, Sircar KR (2000) Derivatives in financial markets with stochastic volatility. Cambridge University Press, Cambridge, UK
17. Goldenfeld N, Kadanoff LP (1999) Simple Lessons from Complexity. Science 284: 87–90
18. Kadanoff LP (2005) Statistical Physics, Statics, Dynamics and Renormalization. World Scientific Singapore
19. Jona-Lasinio G (2001) Renormalization group and probability theory. Phys. Rep. 352: 439– 458
20. Black F, Scholes M. (1973) The Pricing of Options and Corporate Liabilities. J. Polit. Econ. 81: 637-654