Econophysics Library
Articles:
  1. L.A.N. Amaral, S.V. Buldyrev, S. Havlin, M.A. Salinger, and H.E. Stanley: Power Law for a System of Interacting Units with Complex Internal Structure Phys. Rev. Lett. 80 (1998) 1385-1388
  2. A. Arneodo, J.-F. Muzy and D. Sornette: "Direct" cascade in the stock market, Eur. Phys. J. B 2 (1998) 277-281
  3. M.Ausloos: The money games physicists play, Europhys. News 29 (1998) 70
  4. J.-P. Bouchaud, P. Cizeau, L. Laloux and M. Potters: Mutual attractions: physics and finance, Phyisics World, January 1999
  5. J.-P. Bouchaud and R. Cont: A Langevin approach to stock market fluctuations and crashes, Eur. Phys. J. B 6 (1998) 543-550

    6. [downloadable: bouchaud.ps.gz]
  6. J.-P. Bouchaud and D. Sornette: The Black-Scholes option pricing problem in mathematical finance: generalisation and extensions for a large class of stochastic processes, J. Phys. 1 France 4 (1994) 863-881
  7. Caldarelli G., Marsili M., Zhang Y.-C. : A prototype model of stock exchange, Europhysics Letters 40 (1997) 479
  8. P. Cizeau, Y. Liu, M. Meyer, C.-K. Peng, H. E. Stanley: Volatility distribution in the S&P500 stock index, Physica A 245 (1997) 441-445
  9. R. Cont: Statistical Finance: empirical study and theoretical modeling of price fluctuations in financial markets , PhD dissertation, Universite' de Paris XI
  10. R. Cont: Modeling Economic Randomness: Statistical Mechanics of Market Phenomena, to appear in M.T. Batchelor and L.T. Wille (Eds.): Statistical Physics in the eve of the 21st Century, World Scientific, Singapore, 1999
  11. M. Dacorogna: Econophysicists find a forum, Physics World, September 1999
  12. S. Galluccio, J.-P. Bouchaud, and M. Potters: Rational decisions, random matrices and spin glasses, Physica A 259 (1998) 449-456
  13. S. Galluccio, G. Caldarelli, M. Marsili, Y.-C. Zhang: Scaling in currency exchange, Physica A 245 (1997) 423-436
  14. S. Galluccio, Y.-C. Zhang: Products of random matrices and ivestment strategies, Phys. Rev. E 54 (1996) R4516
  15. S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, Y. Dodge: Turbolent cascades in foreign exchange markets, Nature 381 (1996) 76
  16. P. Gopikrishnan, M Meyer, L.A.N. Amaral and H.-E. Stanley: Inverse cubic law for the distribution of stock price variations, The European Physical Journal B 3 (1998) 139-140
  17. T. Hirabayashi, H. Takayasu, H. Miura. and K. Hamada: The behavior of a threshold model of market price in stock exchange, Fractals 1 (1993) 29
  18. A. Johansen and D. Sornette: Modeling the stock market prior to large crashes, Eur. Phys. J. B 9 (1999) 167-174 [abstract]
  19. A. Johansen and D. Sornette: Stock market crashes are outliers, Eur. Phys. J. B 1 (1998) 141-143
  20. N.F. Johnson, S. Jarvis, R. Jonson, P. Cheung, Y.R. Kwong, P.M. Hui: Volatility and agent adaptability in a self-organizing market, Physica A 258 (1998) 230-236
  21. L. Kador: Microscopic analysis of currency and stock exchange markets Phys. Rev. E 60 (1999) 1441-1449
  22. Valery A. Kholodnyi: A nonlinear Partial Differential Equation for American Options in the Entire Domain of the State Variable, Nonlinear Analysis, Theory, Methods and Applications 30 (8)  (1997)  5059-5070, (Proceedings of the Second World Congress of Nonlinear Analysts, Athens, Greece,  1996).
  23. J. Laherrere, D. Sornette: Stretched exponential distributions in nature and economy: "fat tails" with characteristic scales, The European Physical Journal B 2 (1998) 525-539
  24. L. Laloux, P. Cizeau, J.-P. Bouchaud and M. Potters: Noise Dressing of Financial Correlation Matrices , Phys. Rev. Lett. 83 (1999) 1467-1470
  25. Y. Lee, L.A.N. Amaral, D. Canning, M. Meyer, and H.E. Stanley: Universal Features in the Growth Dynamics of Complex Organizations Phys. Rev. Lett. 81 (1998)
  26. M. Levy, N. Persky and S. Solomon: Microscopic Simulation of the Stock Market: the Effect of Microscopic Diversity, J. Phys. I France 5 (1995) 1087-1107
  27. W. Li: Absence of 1/f spectra in Dow Jones daily average, International Journal of Bifurcation and Chaos 1 1991 p583
  28. Y. Liu, P. Cizeau, M. Meyer, C.-K.Peng, H. E. Stanley: Correlations in economic time series Physica A 245 (1997) 437-440
  29. B.B. Mandelbrot: A Multifractal Walk down Wall Street Scientific American, February 1999
  30. R.N. Mantegna: Hierarchical structure in financial markets, Eur. Phys. J. B 11 (1999) 193-197 [cond-mat/9802256]
  31. R.N Mantegna: Limit theorems and price changes in financial markets, Philosofical Magazine B 77 (1998) 1353-1356
  32. R. N. Mantegna: Levy walks and enhanced diffusion in Milan Stock exchange, Physica A 179 (1991) 232-242
  33. R. N. Mantegna, H. E. Stanley: Stochastic Processes with Ultraslow Convergence to a Gaussian: The Truncated Levy Flight, Physical Review Letters 73 (1994) 2946-2949
  34. R. N. Mantegna ans H. E. Stanley: Econophysics: Scaling and its Breakdown in Finance, J. Stat. Phys. 89 (1997) 469-479
  35. R. N. Mantegna, H. E. Stanley: Modeling of financial data: Comparison of the truncated levy flight and the ARCH(1) and GARCH(1,1) processes, Physica A 254 (1998) 77-84
  36. R. N. Mantegna, H. E. Stanley: Scaling behaviour in the dynamics of an economics index, Nature 376 (1995) 46-49
  37. R. N. Mantegna, H. E. Stanley: Turbolence and financial markets Nature 383 (1996) 587-588
  38. R. N. Mantegna: Fast, accurate algorithm for numerical simulation of Levy stable stochastic processes, Physical Review E 49 (1994) 4677-4683
  39. M. Marsili, S. Masvlov and Y.-C. Zhang: Dynamical optimization thery of a divesified portfolio, Physica A 253 (1998) 403-418
  40. S. Mercik and R. Weron: Scaling in currency exchange: a conditionally exponential decay approach, Physica A 267 (1999) 239-250
  41. B. Pilgram and D.T. Kaplan: A comparison of estimators for 1/f noise (1998) Physica D 114,p108
  42. J. M. Pimbley: Physicists in Finance, Physics Today January 1997 42
  43. V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. N. Amaral, and H. E. Stanley: Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series, Phys. Rev. Lett. 83 (1999) 1471-1474
  44. M. Potters, R. Cont, J.-P. Bouchaud: Financial markets as adaptive ecosystems Europhysics Letters 41 (1998) 239-244
  45. A. L. Robinson: The Physics of High Finance, Physics Today June 1994 55-56
  46. B.M Roehmer, D. Sornette: The sharp peak-flat trough pattern and critical speculation, The European Physical Journal B 4 (1998) 387-399
  47. Sato A.-H. Takayasu H.: Dynamical numerical models of stock market prices: from microscopic determinism to macroscopic randomness (1998) Physica A 250, p231
  48. E. Scalas: Scaling in the market of futures Physica A 253 (1998) 394-402
  49. Shlesinger M. F., Zaslavsky G. M., Klafter J. : Strange Kinetics, Nature 363 (1993) 31
  50. D. Sornette, A. Johansen: Large financial crashes, Physica A 245 (1997) 411-422
  51. D. Sornette: String formulation of the dynamics of the forward interest rate curve, The European Physical Journal B 3 (1998) 125-137 [downloadable: sornette98.pdf]
  52. D. Sornette: Multiplicative processes and power laws (1998) Physical Review E 57, p 4811-4813
  53. D. Stauffer and D. Sornette: Log-periodic oscillations for biased diffusion on random lattice Physica A 252 (1998) 271-277
  54. G. Stix: A Calculus of Risk, Scientific American, May 1998 70-75
  55. Takayasu H., Miura H., Hirabayashi T. and Hamada K.: Statistical properties of deterministic threshold elements - the case of market price, Physica A 184 (1992) 127
  56. Takayasu H., Sato A.-H. and Takayasu M.: Stable infinite fluctuations in randomly amplified Langevin systems, Phys. Rev. Lett. 79 (1997) 966
  57. Takayasu H. and Okuyama K.: Country dependence on company size distributions and a numerical model based on competition and cooperation, Fractals 6 (1998) 67
  58. N. Vandewalle, M. Ausloos, Ph. Boveroux and A. Minguet: Visualizing the log-periodic pattern before crashes, Eur. Phys. J B 9 (1999) 355-359

    59. [abstract]
  59. N.Vandewalle and M.Ausloos: Coherent and random sequences in financial fluctuations, Physica A 246 (1997) 454
  60. N. Vandewalle, M Ausloos: Multi-affine analysis of typical currency exchange rates, The European Physical Journal B 4 (1998) 257-261 [downloadable: vandewalle98.pdf]
  61. N. Vandewalle, M. Ausloos, Ph. Boveroux and A. Minguet: How the financial crash of october 1997 could have been predicted, The European Physical Journal B 4 (1998) 139-143
  62. N. Vandewalle, P. Boveroux, A. Minguet, M. Ausloos: The crash of October 1987 seen as a phase transition: amplitude and universality, Physica A 255 (1998) 201-210
  63. N.Vandewalle and M.Ausloos: Sparseness and Roughness of foreign exchange rates, Int. J. Mod. Phys. C 9 (1998) 711
  64. N.Vandewalle and M.Ausloos: Extended Detrended Fluctuation Analysis for financial data,Int. J. Comput. Anticipat. Syst. 1 (1998) 342
  65. N.Vandewalle, M.Ausloos and Ph.Boveroux: Detrended Fluctuation Analysis of the foreign exchange market, in Proc. of Econophys. Workshop , Budapest, Hungary, 1997, to be published in Kluwer series
  66. N.Vandewalle and M.Ausloos: Crossing of two mobile averages: an original method for measuring the roughness exponent, Phys. Rev. E,in press (november 1998)
  1. Y. Ait-Sahalia and A. Lo: Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices, J. Finance LIII (1998) 499-547 [downloadable: lo_jf.ps.gz]
  2. L.C. Beltrametti: Bell Inequalities in Economics?, Quad. Dip. Econ. Pol., Univ. Siena (1994) [downloadable: Bell.pdf pp 12]
  3. F. Black and M. Scholes: The pricing of options and corporate liabilities, Journal of Political Economy 81 (1973) 637-659
  4. J. Hull and A. White: The Pricing of Options on Assets with Stochastic Volatilities, The Journal of Finance XLII (1987) 281-300
  5. Valery A. Kholodnyi and John F. Price: Foreign Exchange Option Symmetry Based on Domestic-Foreign Payoff Invariance, Proceedings of the IEEE/IAFE Conference on Computational Intelligence for Financial Engineering (CIFEr), New York, (1997), 164-170.
  6. Valery A. Kholodnyi: A Semilinear Evolution Equation for General Derivative Contracts, in John F. Price, Editor, Derivatives and Financial Mathematics,  Nova Science Publishers, Inc., Commack, New York,  1997, 119 -138, (Proceedings of the Special Session on Derivatives and Financial Mathematics of the 909th Meeting of the American Mathematical Society, Iowa City, Iowa, 1996.)
  7. Valery A. Kholodnyi and Milan N. Lukic: Random Field Formulation for the Term Structure of Interest Rates, In John F. Price, Editor, Derivatives and Financial Mathematics,  Nova Science Publishers, Inc., Commack, New York,  1997,  139-143, (Proceedings of the Special Session on Derivatives and Financial Mathematics of the 909th Meeting of the American Mathematical Society, Iowa City, Iowa, 1996.)
  8. A.W. Lo and A.C. MacKinlay: Stock market prices do not follow random walks: evidence from a simple specification test, The Review of Financial Studies 1 (1988) 41-66 [downloadable: lo_mck_88.ps.gz]
  9. B. Mandelbrot: The Variation of Certain Speculative Prices, J. Business 36 (1963) 394-419
  10. Robert C. Merton: Optimum Consumption and Portfolio Rules in a Continuos-Time Model, Journal of Economic Theory 3 (1971) 373-413
  11. B.M. Roehner: The role of transportation costs in the economics of commodity markets, American Journal of Agricultural Economics 78 (1996) 339-353
  12. B.M. Roehner: Spatial analysis of real estate price bubbles: Paris 1984-1993, Regional Science and Urban Economics (1998, in press)
  13. P. Wilmott and A. Oztikel: Uncertain parameters,  an empirical stochastic volatility model and confidence limits, Int. J. Theor. Appl. Finance 1 (1998) 175-189.
  1. M.A. Baduel: Il manager dei fulmini, Inserto D, Repubblica, 28/09/1999
  2. A. Del Rosso: Borsa? E' un fluido turbolento, Tutto Scienze, La Stampa, 14/10/1998 (in italian)
  3. S. Gershon:Taking your skills all the way to the bank, Nature  393 (June 4, 1998) 496
  4. G. Taubes: Wall Street Smarts, Discover, October 1998, 104-113
  5. A new approach to financial risk, The Economist, October 17th 1998, 15-16
  6. The risk business, The Economist, October 17th 1998, 21-24
  7. B. Riley: When rocket scientists crash out of orbit, Financial Times, April the 16th, 1996

Books:

  1. Anderson P. W. , Arrow K. J. , Pines D. : The Economy as an Evolving Complex System, Addison-Wesley, Redwood City (1988)

    2. [ link to santafe.edu book info]
  2. W.B. Arthur, S.N. Durlauf e D.A. Lane: The Economy as an Evolving Complex System II, Addison-Wesley, Redwood City (1997)

    3. [ link to santafe.edu book info]
  3. R. Cooke and D. Costantini (eds): The Foundations of Statistical Methods in Biology, Physics and Economics, Kluwer, Dordrecht (1991)
  4. P. Embrechts, C. Kluppelberg, T. Mikosch, M. Yor (Ed), I Karatzas (Ed.): Modelling Extremal Events for Insurance and Finance, Springer (1997)
  5. Kertesz J. and Kondor J. (eds): Econophysics:  an Emerging Science, Kluwer Academic Publishers, Dordrecht (NL), in press
  6. Valery A. Kholodnyi and John F. Price: Foreign Exchange Option Symmetry, World Scientific, (1998)
  7. Valery A. Kholodnyi and John F. Price: Foundations of Foreign Exchange Option Symmetry, IES Press, (1998)
  8. Valery A. Kholodnyi: Beliefs-Preferences Gauge Symmetry Group and Replication of Contingent Claims in a General Market Environment, IES Press, (1998)
  9. B.B. Mandelbrot: The Fractal Geometry of Nature, Freeman, San Francisco (1982)
  10. B.B. Mandelbrot: Fractals and Scaling in Finance, Springer-Verlag, New York (1997)
  11. R.N. Mantegna and H.E. Stanley: Scaling Approach to Finance, Cambridge University Press, Cambridge, UK, in press
  12. A. Medio and G. Gallo: Chaotic Dynamics: Theory and Applications to Economics, Cambridge University Press (1995)
  13. E.W. Montroll and W.W Badger: Introduction to Quantitative Aspects of Social Phenomena, Gordon & Breach, London, (1975)
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  15. V. Bhansali: Pricing and Managing Exotic and Hybrid Options. McGraw-Hill [364pp] (1998)
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  13. Michael F. Shlesinger (ed), George M. Zaslavskii, Uriel Frisch: Levy Flights and Related Topics in Physics: Proceedings of the International Workshop Held at Nice, France, 27-30 June 1994, Springer Verlag (1996)

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  1. M. Amram and N. Kulatilaka: Real Options: Managing Strategic Investment in a Uncertain World, HSB Press (1999) [A Review (in italian)]
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  4. J. P. Bouchaud, M. Potters: Theorie des risques financiers, Alea Saclay (1997)
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  10. D. Duffie: Dinamic Asset Pricing Theory,  Princeton University Press, Princeton (1996)
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  15. B.G. Malkiel: A Random Walk Down Wall Street, Norton & Company, New York, 6th edition (1996)
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  20. Steven Shreve's Lectures on Stochastic Calculus and Finance (Download)
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  1. C.M. Bishop: Neural Network for Pattern Recognition, Claredon Press - Oxford, New York (1995)
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  1. G. J. Deboeck and T. Kohonen (eds): Visual Explorations in Finance with Self Organizing Maps, Springer Finance, New York (1998)
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Last update:  January 22,  2000