| Autor: |
Jean-Philippe Bouchaud |
| Jazyk: |
angličtina |
| Rok vydání: |
2021 |
| Předmět: |
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| Zdroj: |
Entropy, Vol 23, Iss 12, p 1676 (2021) |
| Druh dokumentu: |
article |
| ISSN: |
1099-4300 |
| DOI: |
10.3390/e23121676 |
| Popis: |
This is an informal and sketchy review of five topical, somewhat unrelated subjects in quantitative finance and econophysics: (i) models of price changes; (ii) linear correlations and random matrix theory; (iii) non-linear dependence copulas; (iv) high-frequency trading and market stability; and finally—but perhaps most importantly—(v) “radical complexity” that prompts a scenario-based approach to macroeconomics heavily relying on Agent-Based Models. Some open questions and future research directions are outlined. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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