Articles citing this article

The Citing articles tool gives a list of articles citing the current article.
The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program. You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).

Cited article:

Universality of delay-time averages for financial time series: analytical results, computer simulations, and analysis of historical stock-market prices

Stefan Ritschel, Andrey G Cherstvy and Ralf Metzler
Journal of Physics: Complexity 2 (4) 045003 (2021)
https://doi.org/10.1088/2632-072X/ac2220

Multifractal analysis of financial markets: a review

Zhi-Qiang Jiang, Wen-Jie Xie, Wei-Xing Zhou and Didier Sornette
Reports on Progress in Physics 82 (12) 125901 (2019)
https://doi.org/10.1088/1361-6633/ab42fb

OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS

LASKO BASNARKOV, VIKTOR STOJKOSKI, ZORAN UTKOVSKI and LJUPCO KOCAREV
International Journal of Theoretical and Applied Finance 22 (07) 1950041 (2019)
https://doi.org/10.1142/S0219024919500419

Identification of five time periods on the Indonesian stock exchange index historical data since 1997 to 2016

N Riveli and B J Suroto
Journal of Physics: Conference Series 1013 012191 (2018)
https://doi.org/10.1088/1742-6596/1013/1/012191

Predictability and herding of bourse volatility: an econophysics analogue

Bikramaditya Ghosh, Krishna M.C., Shrikanth Rao, Emira Kozarević and Rahul Kumar Pandey
Investment Management and Financial Innovations 15 (2) 317 (2018)
https://doi.org/10.21511/imfi.15(2).2018.28

An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral

Chao Ma, Qinghua Ma, Haixiang Yao and Tiancheng Hou
Physica A: Statistical Mechanics and its Applications 494 87 (2018)
https://doi.org/10.1016/j.physa.2017.11.120

Investigation of non-Gaussian effects in the Brazilian option market

William O. Sosa-Correa, Antônio M.T. Ramos and Giovani L. Vasconcelos
Physica A: Statistical Mechanics and its Applications 496 525 (2018)
https://doi.org/10.1016/j.physa.2017.12.115

Fitting a function to time-dependent ensemble averaged data

Karl Fogelmark, Michael A. Lomholt, Anders Irbäck and Tobias Ambjörnsson
Scientific Reports 8 (1) (2018)
https://doi.org/10.1038/s41598-018-24983-y

Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications

Jean-Philippe Aguilar and Jan Korbel
Fractal and Fractional 2 (1) 15 (2018)
https://doi.org/10.3390/fractalfract2010015

Identifying explosive behavioral trace in the CNX Nifty Index: a quantum finance approach

Bikramaditya Ghosh and Emira Kozarević
Investment Management and Financial Innovations 15 (1) 208 (2018)
https://doi.org/10.21511/imfi.15(1).2018.18

European option pricing under the Student’s t noise with jumps

Xiao-Tian Wang, Zhe Li and Le Zhuang
Physica A: Statistical Mechanics and its Applications 469 848 (2017)
https://doi.org/10.1016/j.physa.2016.11.131

Asymmetry of price returns—Analysis and perspectives from a non-extensive statistical physics point of view

Łukasz Bil, Dariusz Grech, Magdalena Zienowicz and Alejandro Raul Hernandez Montoya
PLOS ONE 12 (11) e0188541 (2017)
https://doi.org/10.1371/journal.pone.0188541

Can there be a physics of financial markets? Methodological reflections on econophysics

Tobias A. Huber and Didier Sornette
The European Physical Journal Special Topics 225 (17-18) 3187 (2016)
https://doi.org/10.1140/epjst/e2016-60158-5

The price of granularity and fractional finance

Charles S. Tapiero, Oren J. Tapiero and Guy Jumarie
Risk and Decision Analysis 6 (1) 7 (2016)
https://doi.org/10.3233/RDA-150112

The Optimal Hedge Ratio in Option Pricing: The Case of Exponentially Truncated Lévy Stable Distribution

Gigel Busca, Emmanuel Haven, Franck Jovanovic and Christophe Schinckus
Theoretical Economics Letters 04 (09) 760 (2014)
https://doi.org/10.4236/tel.2014.49096

Log Student’st-distribution-based option sensitivities: Greeks for the Gosset formulae

Daniel T. Cassidy, Michael J. Hamp and Rachid Ouyed
Quantitative Finance 13 (8) 1289 (2013)
https://doi.org/10.1080/14697688.2012.744087

A note on geometric method-based procedures to calculate the Hurst exponent

J.E. Trinidad Segovia, M. Fernández-Martínez and M.A. Sánchez-Granero
Physica A: Statistical Mechanics and its Applications 391 (6) 2209 (2012)
https://doi.org/10.1016/j.physa.2011.11.044

Effective Truncation of a Student’s <i>t</i>-Distribution by Truncation of the Chi Distribution in a Chi-Normal Mixture

Daniel T. Cassidy
Open Journal of Statistics 02 (05) 519 (2012)
https://doi.org/10.4236/ojs.2012.25067

Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs

Xiao-Tian Wang
Physica A: Statistical Mechanics and its Applications 390 (9) 1623 (2011)
https://doi.org/10.1016/j.physa.2010.12.021

Pricing European options with a log Student’s t-distribution: A Gosset formula

Daniel T. Cassidy, Michael J. Hamp and Rachid Ouyed
Physica A: Statistical Mechanics and its Applications 389 (24) 5736 (2010)
https://doi.org/10.1016/j.physa.2010.08.037

Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs

Xiao-Tian Wang, Hai-Gang Yan, Ming-Ming Tang and En-Hui Zhu
Physica A: Statistical Mechanics and its Applications 389 (3) 452 (2010)
https://doi.org/10.1016/j.physa.2009.09.044

Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws

Alexander M. Petersen, Fengzhong Wang, Shlomo Havlin and H. Eugene Stanley
Physical Review E 82 (3) (2010)
https://doi.org/10.1103/PhysRevE.82.036114

Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black–Scholes model

Xiao-Tian Wang
Physica A: Statistical Mechanics and its Applications 389 (3) 438 (2010)
https://doi.org/10.1016/j.physa.2009.09.041

Econophysics Approaches to Large-Scale Business Data and Financial Crisis

Dariusz Grech
Econophysics Approaches to Large-Scale Business Data and Financial Crisis 149 (2010)
https://doi.org/10.1007/978-4-431-53853-0_7

Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model

Xiao-Tian Wang
Physica A: Statistical Mechanics and its Applications 389 (4) 789 (2010)
https://doi.org/10.1016/j.physa.2009.10.032

Fluctuations of trading volume in a stock market

Byoung Hee Hong, Kyoung Eun Lee, Jun Kyung Hwang and Jae Woo Lee
Physica A: Statistical Mechanics and its Applications 388 (6) 863 (2009)
https://doi.org/10.1016/j.physa.2008.11.029

Perturbation expansion for option pricing with stochastic volatility

Petr Jizba, Hagen Kleinert and Patrick Haener
Physica A: Statistical Mechanics and its Applications 388 (17) 3503 (2009)
https://doi.org/10.1016/j.physa.2009.04.027

The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market

Dariusz Grech and Grzegorz Pamuła
Physica A: Statistical Mechanics and its Applications 387 (16-17) 4299 (2008)
https://doi.org/10.1016/j.physa.2008.02.007

Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market

Łukasz Czarnecki, Dariusz Grech and Grzegorz Pamuła
Physica A: Statistical Mechanics and its Applications 387 (27) 6801 (2008)
https://doi.org/10.1016/j.physa.2008.08.019

Probability distribution function and multiscaling properties in the Korean stock market

Kyoung Eun Lee and Jae Woo Lee
Physica A: Statistical Mechanics and its Applications 383 (1) 65 (2007)
https://doi.org/10.1016/j.physa.2007.04.112

Power law of quiet time distribution in the Korean stock-market

Byoung Hee Hong, Kyoung Eun Lee and Jae Woo Lee
Physica A: Statistical Mechanics and its Applications 377 (2) 576 (2007)
https://doi.org/10.1016/j.physa.2006.11.076

OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS

ERIK AURELL and PAOLO MURATORE-GINANNESCHI
International Journal of Theoretical and Applied Finance 09 (07) 1051 (2006)
https://doi.org/10.1142/S0219024906003901

Multifractal behavior of the Korean stock-market index KOSPI

Jae Woo Lee, Kyoung Eun Lee and Per Arne Rikvold
Physica A: Statistical Mechanics and its Applications 364 355 (2006)
https://doi.org/10.1016/j.physa.2005.08.082

The 1/H-variation of the divergence integral with respect to the fractional Brownian motion for H>1/2 and fractional Bessel processes

João M.E. Guerra and David Nualart
Stochastic Processes and their Applications 115 (1) 91 (2005)
https://doi.org/10.1016/j.spa.2004.07.008

A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES

UMBERTO L. FULCO, MARCELO L. LYRA, FILIPPO PETRONI, MAURIZIO SERVA and GANDHI M. VISWANATHAN
International Journal of Modern Physics B 18 (04n05) 681 (2004)
https://doi.org/10.1142/S0217979204024306

Testing option pricing with the Edgeworth expansion

Ruy Gabriel Balieiro Filho and Rogerio Rosenfeld
Physica A: Statistical Mechanics and its Applications 344 (3-4) 484 (2004)
https://doi.org/10.1016/j.physa.2004.06.018

The origin of fat-tailed distributions in financial time series

G.M. Viswanathan, U.L. Fulco, M.L. Lyra and M. Serva
Physica A: Statistical Mechanics and its Applications 329 (1-2) 273 (2003)
https://doi.org/10.1016/S0378-4371(03)00608-3

Statistical Physics and Economics: Concepts, Tools and Applications

Michael Schulz
Springer Tracts in Modern Physics, Statistical Physics and Economics: Concepts, Tools and Applications 184 195 (2003)
https://doi.org/10.1007/0-387-21713-4_5

OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS

LORENZO CORNALBA, JEAN-PHILIPPE BOUCHAUD and MARC POTTERS
International Journal of Theoretical and Applied Finance 05 (03) 307 (2002)
https://doi.org/10.1142/S0219024902001444

Hedged Monte-Carlo: low variance derivative pricing with objective probabilities

Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic
Physica A: Statistical Mechanics and its Applications 289 (3-4) 517 (2001)
https://doi.org/10.1016/S0378-4371(00)00554-9

Option Pricing And Hedging With Temporal Correlations

Lorenzo Cornalba, Jean-Philippe Bouchaud and Marc Potters
SSRN Electronic Journal (2001)
https://doi.org/10.2139/ssrn.253692

OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST

SERGEI FEDOTOV and SERGEI MIKHAILOV
International Journal of Theoretical and Applied Finance 04 (01) 179 (2001)
https://doi.org/10.1142/S0219024901000912

A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS

ERIK AURELL, ROBERTO BAVIERA, OLA HAMMARLID, MAURIZIO SERVA and ANGELO VULPIANI
International Journal of Theoretical and Applied Finance 03 (01) 1 (2000)
https://doi.org/10.1142/S0219024900000024

Hedged Monte-Carlo: Low Variance Derivative Pricing with Objective Probabilities

Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic
SSRN Electronic Journal (2000)
https://doi.org/10.2139/ssrn.238868

LEARNING SHORT-OPTION VALUATION IN THE PRESENCE OF RARE EVENTS

M. RABERTO, G. CUNIBERTI, M. RIANI, et al.
International Journal of Theoretical and Applied Finance 03 (03) 563 (2000)
https://doi.org/10.1142/S0219024900000590

Econophysics: financial time series from a statistical physics point of view

Vasiliki Plerou, Parameswaran Gopikrishnan, Bernd Rosenow, Luis A.N. Amaral and H.Eugene Stanley
Physica A: Statistical Mechanics and its Applications 279 (1-4) 443 (2000)
https://doi.org/10.1016/S0378-4371(00)00010-8

Quantifying fluctuations in economic systems by adapting methods of statistical physics

H.E. Stanley, P. Gopikrishnan, V. Plerou and L.A.N. Amaral
Physica A: Statistical Mechanics and its Applications 287 (3-4) 339 (2000)
https://doi.org/10.1016/S0378-4371(00)00473-8

Growth optimal investment and pricing of derivatives

Erik Aurell, Roberto Baviera, Ola Hammarlid, Maurizio Serva and Angelo Vulpiani
Physica A: Statistical Mechanics and its Applications 280 (3-4) 505 (2000)
https://doi.org/10.1016/S0378-4371(00)00005-4

Anomalous Diffusion From Basics to Applications

R. Kutner and P. Maass
Lecture Notes in Physics, Anomalous Diffusion From Basics to Applications 519 61 (1999)
https://doi.org/10.1007/BFb0106833

Econophysics: Can physicists contribute to the science of economics?

H.E Stanley, L.A.N Amaral, D Canning, et al.
Physica A: Statistical Mechanics and its Applications 269 (1) 156 (1999)
https://doi.org/10.1016/S0378-4371(99)00185-5

Anomalous Diffusion From Basics to Applications

Y. Liu, L. A. N. Amaral, P. Cizeau, et al.
Lecture Notes in Physics, Anomalous Diffusion From Basics to Applications 519 197 (1999)
https://doi.org/10.1007/BFb0106843