Results 51 to 60 of about 8,136 (186)
Permutation Entropy and Its Main Biomedical and Econophysics Applications: A Review
Entropy, 2012 Entropy is a powerful tool for the analysis of time series, as it allows describing the probability distributions of the possible state of a system, and therefore the information encoded in it.
Osvaldo A. Rosso +3 more
doaj +1 more source
Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
Five Years of Continuous-time Random Walks in Econophysics
, 2004 This paper is a short review on the application of continuos-time random walks to Econophysics in the last five years.Comment: 14 pages.
Scalas, Enrico
core +2 more sources
A Learning Model with Memory in the Financial Markets
International Journal of Finance &Economics, Volume 31, Issue 1, Page 1203-1213, January 2026.ABSTRACT Learning is central to a financial agent's aspiration to gain persistent strategic advantage in asset value maximisation. The implicit mechanism that transforms this aspiration into an observed value gain is the speed of error corrections (demonstrating, an agent's speed of learning) whilst facing increased uncertainty.
Shikta Singh +6 more
wiley +1 more source
International Journal of Productivity Management and Assessment Technologies, 2019 The future contains terms (V) that are valid at all times, and terms (U) that are presently unknown. In economics, (V) and (U) correspond to ex ante and ex post, in physics to conservative and not conservative, in calculus, to exact and not exact differential forms or to Riemann and Stokes integrals, and to linear or non-linear equations, in statistics
Santos, Daniel de Souza +2 more
openaire +3 more sources
Evidence for the Gompertz Curve in the Income Distribution of Brazil 1978-2005
, 2008 This work presents an empirical study of the evolution of the personal income distribution in Brazil. Yearly samples available from 1978 to 2005 were studied and evidence was found that the complementary cumulative distribution of personal income for 99%
A. Chatterjee +23 more
core +2 more sources
The impact of cryptocurrency heists on Bitcoin's market efficiency
International Journal of Finance &Economics, Volume 30, Issue 3, Page 2912-2929, July 2025.Abstract Within the adaptive market hypothesis (AMH) framework, this study explores the dynamic impact of cryptocurrency heists on Bitcoin's market efficiency. By analysing Bitcoin's one‐minute price data, we calculate permutation entropy to assess market disorder and employ the complexity‐entropy causality plane to quantify structural changes in the ...
Mingnan Li, Viktor Manahov, John Ashton
wiley +1 more source
Artificial Intelligence Approach to Momentum Risk-Taking
International Journal of Financial Studies, 2021 We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility. Its implementation, a fully automated momentum equity trading system, is systematically discussed in this paper.
Ivan Cherednik
doaj +1 more source
Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets? [PDF]
, 1994 Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia.
Bentes, Sonia R. +2 more
core +2 more sources
Modeling income distribution: An econophysics approach
Mathematical Biosciences and Engineering, 2023 <abstract><p>This study aims to develop appropriate models for income distribution in Iran using the econophysics approach for the 2006–2018 period. For this purpose, the three improved distributions of the Pareto, Lognormal, and Gibbs-Boltzmann distributions are analyzed with the data extracted from the target household income expansion ...
Khamnei, Hossein Jabbari +3 more
openaire +4 more sources