Financial market complexity

By N. Johnson, P. Jefferies, P. Hui. 2003

294 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

What really causes large price changes? (2003, background): “There have been several conjectures about the origin of fat tails in prices [2, 3, 7, 8, 10, 20, 22, 30, 42, 44, 59, 60].”
Dragon-kings: Mechanisms, statistical methods and empirical evidence (2012, background): “This is the so-called grand canonical minority game, previously studied extensively by Johnson and collaborators (Johnson et al., 2003).”
Econophysics: Empirical facts and agent-based models (2009, unknown): “The concept of “stylized facts” was introduced in macroeconomics around 1960 by Nicholas Kaldor, who advocated that a scientist studying a phenomenon “should be free to start off with a stylized view of the facts” Kaldor (1961). In his work, Kaldor isolated several statistical facts characterizing m”