Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
Top Cited Papers
- 1 April 2004
- journal article
- Published by Taylor & Francis in Quantitative Finance
- Vol. 4 (2) , 176-190
- https://doi.org/10.1088/1469-7688/4/2/007
Abstract
No abstract availableKeywords
All Related Versions
This publication has 41 references indexed in Scilit:
- Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random ProcessPhysical Review Letters, 2003
- Statistical properties of stock order books: empirical results and modelsQuantitative Finance, 2002
- Analyzing and modeling 1+1d marketsPhysica A: Statistical Mechanics and its Applications, 2001
- Mean-field approximation for a limit order driven market modelPhysical Review E, 2001
- Price fluctuations from the order book perspective—empirical facts and a simple modelPhysica A: Statistical Mechanics and its Applications, 2001
- Simple model of a limit order-driven marketPhysica A: Statistical Mechanics and its Applications, 2000
- Inefficient MarketsPublished by Oxford University Press (OUP) ,2000
- Price variations in a stock market with many agentsPhysica A: Statistical Mechanics and its Applications, 1997
- Complexity in economic and financial markets: Behind the physical institutions and technologies of the marketplace lie the beliefs and expectations of real human beingsComplexity, 1995
- Efficient Capital Markets: A Review of Theory and Empirical WorkThe Journal of Finance, 1970