The Statistical Mechanics of Financial Markets
By R. Lourie. 2002
138 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/d0f0d99fcc8c4eeadba5bf0512f26641fd0d621c
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Victor M. Yakovenko
- A. Drăgulescu
- Giuseppe Toscani
- Anand Banerjee
- Daniel Matthes
- Guang-Hua Lian
- Song‐Ping Zhu
Citations in the corpus
- Probability distribution of returns in the Heston model with stochastic volatility (2002, background): “However, numerous observations show that the tails of the PDF decay slower than the log-normal distribution predicts (the so-called 'fat-tails* effect) [2-4].”