Econophysics
Results from statistical physics applied to market data, with the tests that separate a real law from a fitted curve.
10 notes
Agent-Based Markets and Zero Intelligence
The Critical Branching Ratio Debate (Reflexivity Near One)
DFA and Modified R/S: Estimating Long Memory Without Fooling Yourself
Econophysics Textbooks: Mantegna-Stanley vs Bouchaud-Potters
Hawkes Processes in Finance: What the Review Covers
The Inverse Cubic Law of Return Tails
The Leverage Effect and the Retarded Volatility Model
Multifractal Models of Returns (MMAR and MRW)