Stratimirović, Djordje; Sarvan, Darko; Miljković, Vladimir; Blesić, Suzana Analysis of cyclical behavior in time series of stock market returns. (English) Zbl 07261992 Commun. Nonlinear Sci. Numer. Simul. 54, 21-33 (2018). MSC: 82C41 82C80 91B84 PDF BibTeX XML Cite \textit{D. Stratimirović} et al., Commun. Nonlinear Sci. Numer. Simul. 54, 21--33 (2018; Zbl 07261992) Full Text: DOI
Efendi, Riswan; Arbaiy, Nureize; Deris, Mustafa Mat A new procedure in stock market forecasting based on fuzzy random auto-regression time series model. (English) Zbl 1448.91281 Inf. Sci. 441, 113-132 (2018). MSC: 91G15 62P05 62M20 62M86 PDF BibTeX XML Cite \textit{R. Efendi} et al., Inf. Sci. 441, 113--132 (2018; Zbl 1448.91281) Full Text: DOI
Feng, Ling; Huang, Zhigang; Mao, Xuerong Mean percentage of returns for stock market linked savings accounts. (English) Zbl 1410.91494 Appl. Math. Comput. 273, 1130-1147 (2016). MSC: 91G80 91G60 PDF BibTeX XML Cite \textit{L. Feng} et al., Appl. Math. Comput. 273, 1130--1147 (2016; Zbl 1410.91494) Full Text: DOI
Fei, Shilong The multiple Markov chains in random environments. (Chinese. English summary) Zbl 1349.60116 J. East China Norm. Univ., Nat. Sci. Ed. 2016, No. 1, 81-90 (2016). MSC: 60J10 60K37 PDF BibTeX XML Cite \textit{S. Fei}, J. East China Norm. Univ., Nat. Sci. Ed. 2016, No. 1, 81--90 (2016; Zbl 1349.60116) Full Text: DOI
Dong, Yanfang; Wang, Jun Complex system analysis of market return percolation model on Sierpinski carpet lattice fractal. (English) Zbl 1320.91116 J. Syst. Sci. Complex. 27, No. 4, 743-759 (2014). MSC: 91B80 91B26 91B84 05C80 28A80 60K35 82B43 91G80 PDF BibTeX XML Cite \textit{Y. Dong} and \textit{J. Wang}, J. Syst. Sci. Complex. 27, No. 4, 743--759 (2014; Zbl 1320.91116) Full Text: DOI
Wang, Gang-Jin; Xie, Chi; Chen, Shou; Yang, Jiao-Jiao; Yang, Ming-Yan Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient. (English) Zbl 1402.91967 Physica A 392, No. 17, 3715-3730 (2013). MSC: 91G80 91B84 PDF BibTeX XML Cite \textit{G.-J. Wang} et al., Physica A 392, No. 17, 3715--3730 (2013; Zbl 1402.91967) Full Text: DOI
Gialampoukidis, I.; Gustafson, K.; Antoniou, I. Financial time operator for random walk markets. (English) Zbl 1355.91056 Chaos Solitons Fractals 57, 62-72 (2013). MSC: 91B80 82C41 91B82 PDF BibTeX XML Cite \textit{I. Gialampoukidis} et al., Chaos Solitons Fractals 57, 62--72 (2013; Zbl 1355.91056) Full Text: DOI
Doyle, John R.; Chen, Catherine H. Patterns in stock market movements tested as random number generators. (English) Zbl 1292.91191 Eur. J. Oper. Res. 227, No. 1, 122-132 (2013). MSC: 91G70 91B84 62P05 62M10 65C10 PDF BibTeX XML Cite \textit{J. R. Doyle} and \textit{C. H. Chen}, Eur. J. Oper. Res. 227, No. 1, 122--132 (2013; Zbl 1292.91191) Full Text: DOI
Bautin, Grigory A.; Kalyagin, Valery A.; Koldanov, Alexander P.; Koldanov, Petr A.; Pardalos, Panos M. Simple measure of similarity for the market graph construction. (English) Zbl 1282.91382 Comput. Manag. Sci. 10, No. 2-3, 105-124 (2013). MSC: 91G70 91B24 PDF BibTeX XML Cite \textit{G. A. Bautin} et al., Comput. Manag. Sci. 10, No. 2--3, 105--124 (2013; Zbl 1282.91382) Full Text: DOI
Shonkwiler, Ronald W. Finance with Monte Carlo. (English) Zbl 1295.91003 Springer Undergraduate Texts in Mathematics and Technology. New York, NY: Springer (ISBN 978-1-4614-8510-0/hbk; 978-1-4614-8511-7/ebook). xix, 250 p. (2013). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91-01 91G60 65C05 91G10 91G20 65C30 65C40 91B24 91B30 91B70 60G50 60G51 60H30 60H35 60J70 PDF BibTeX XML Cite \textit{R. W. Shonkwiler}, Finance with Monte Carlo. New York, NY: Springer (2013; Zbl 1295.91003) Full Text: DOI
Lee, Cheng-Few; Lee, John C.; Lee, Alice C. Statistics for business and financial economics. 3rd ed. (English) Zbl 1281.62225 New York, NY: Springer (ISBN 978-1-4614-5896-8/hbk; 978-1-4614-5897-5/ebook). xlviii, 1206 p. (2013). Reviewer: Jonas Šiaulys (Vilnius) MSC: 62-01 62P05 62P20 PDF BibTeX XML Cite \textit{C.-F. Lee} et al., Statistics for business and financial economics. 3rd ed. New York, NY: Springer (2013; Zbl 1281.62225) Full Text: DOI
Xiang, Lam Shi; Zainuddin, Hishamuddin; Shitan, Mahendran; Krishnarajah, Isthrinayagy The market effect on Malaysian stock correlation network. (English) Zbl 1273.05210 Appl. Math. Sci., Ruse 6, No. 101-104, 5161-5178 (2012). MSC: 05C82 91B02 91B80 PDF BibTeX XML Cite \textit{L. S. Xiang} et al., Appl. Math. Sci., Ruse 6, No. 101--104, 5161--5178 (2012; Zbl 1273.05210) Full Text: Link
Dshalalow, Jewgeni H.; Robinson, Randy On one-sided stochastic games and their applications to finance. (English) Zbl 1236.91024 Stoch. Models 28, No. 1, 1-14 (2012). MSC: 91A15 91G80 60G55 PDF BibTeX XML Cite \textit{J. H. Dshalalow} and \textit{R. Robinson}, Stoch. Models 28, No. 1, 1--14 (2012; Zbl 1236.91024) Full Text: DOI
Xu, Jiuping; Zhou, Xiaoyang; Li, Steven A class of chance constrained multi-objective portfolio selection model under fuzzy random environment. (English) Zbl 1233.91253 J. Optim. Theory Appl. 150, No. 3, 530-552 (2011). MSC: 91G10 90C29 90C70 PDF BibTeX XML Cite \textit{J. Xu} et al., J. Optim. Theory Appl. 150, No. 3, 530--552 (2011; Zbl 1233.91253) Full Text: DOI
Agwuegbo, S. O. N.; Adewole, A. P.; Maduegbuna, A. N. A random walk model for stock market prices. (English) Zbl 1202.91343 J. Math. Stat. 6, No. 3, 342-346 (2010). MSC: 91G70 62P05 PDF BibTeX XML Cite \textit{S. O. N. Agwuegbo} et al., J. Math. Stat. 6, No. 3, 342--346 (2010; Zbl 1202.91343) Full Text: DOI Link
Wang, Ning; Wang, Jun; Dong, Guanghua Construction of stock index fluctuation model by continuum percolation and it’s discussion. (English) Zbl 1199.91247 Math. Appl. 22, No. 1, 65-71 (2009). MSC: 91G30 60J05 60K35 PDF BibTeX XML Cite \textit{N. Wang} et al., Math. Appl. 22, No. 1, 65--71 (2009; Zbl 1199.91247)
Torres, Soledad; Tudor, Ciprian A. Donsker type theorem for the Rosenblatt process and a binary market model. (English) Zbl 1166.60313 Stochastic Anal. Appl. 27, No. 3, 555-573 (2009). MSC: 60F17 91B70 60G18 PDF BibTeX XML Cite \textit{S. Torres} and \textit{C. A. Tudor}, Stochastic Anal. Appl. 27, No. 3, 555--573 (2009; Zbl 1166.60313) Full Text: DOI
Mariani, M. C.; Martin, K.; Dombrowski, D. W.; Martinez, D. Normalized truncated Lévy models applied to the study of financial markets. (English) Zbl 1170.91391 Aust. J. Math. Anal. Appl. 4, No. 2, Article No. 13, 1-9 (2007). MSC: 62P05 91G70 60G50 65C60 PDF BibTeX XML Cite \textit{M. C. Mariani} et al., Aust. J. Math. Anal. Appl. 4, No. 2, Article No. 13, 1--9 (2007; Zbl 1170.91391) Full Text: Link
Dshalalow, J. H.; Liew, A. Level crossings of an oscillating marked random walk. (English) Zbl 1125.60091 Comput. Math. Appl. 52, No. 6-7, 917-932 (2006). MSC: 60K10 60G50 60K05 PDF BibTeX XML Cite \textit{J. H. Dshalalow} and \textit{A. Liew}, Comput. Math. Appl. 52, No. 6--7, 917--932 (2006; Zbl 1125.60091) Full Text: DOI
Hasan, Mohammad S. On the validity of the random walk hypothesis applied to the Dhaka Stock Exchange. (English) Zbl 1099.91516 Int. J. Theor. Appl. Finance 7, No. 8, 1069-1085 (2004). MSC: 91G70 62P05 91B84 PDF BibTeX XML Cite \textit{M. S. Hasan}, Int. J. Theor. Appl. Finance 7, No. 8, 1069--1085 (2004; Zbl 1099.91516) Full Text: DOI
Rosenow, Bernd; Gopikrishnan, Parameswaran; Plerou, Vasiliki; Eugene Stanley, H. Dynamics of cross-correlations in the stock market. (English) Zbl 1072.91571 Physica A 324, No. 1-2, 241-246 (2003). MSC: 91B26 91B82 15B52 PDF BibTeX XML Cite \textit{B. Rosenow} et al., Physica A 324, No. 1--2, 241--246 (2003; Zbl 1072.91571) Full Text: DOI
Jumarie, Guy Modeling fractal dynamical systems in the complex space. From macro-observation to micro-observation. (English) Zbl 1022.37029 Cybern. Syst. 33, No. 5, 427-445 (2002). Reviewer: Henri Schurz (Carbondale) MSC: 37F05 37H10 60H10 93E03 PDF BibTeX XML Cite \textit{G. Jumarie}, Cybern. Syst. 33, No. 5, 427--445 (2002; Zbl 1022.37029) Full Text: DOI
Gonchar, Mykola S.; Kovtun, Svitlana A. Application of random processes with independent increments to the option theory. (Ukrainian. English summary) Zbl 1002.91022 Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 5, 38-43 (2001). Reviewer: A.D.Borisenko (Kyïv) MSC: 91B28 PDF BibTeX XML Cite \textit{M. S. Gonchar} and \textit{S. A. Kovtun}, Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2001, No. 5, 38--43 (2001; Zbl 1002.91022)
Bickel, D. R.; Lai, D. Asymptotic distribution of time-series intermittency estimates: applications to economic and clinical data. (English) Zbl 1079.62540 Comput. Stat. Data Anal. 37, No. 4, 419-431 (2001). MSC: 62M10 62E20 60G50 62P20 62P10 PDF BibTeX XML Cite \textit{D. R. Bickel} and \textit{D. Lai}, Comput. Stat. Data Anal. 37, No. 4, 419--431 (2001; Zbl 1079.62540) Full Text: DOI
McCauley, Joseph L. The futility of utility: how market dynamics marginalize Adam Smith. (English) Zbl 1060.91505 Physica A 285, No. 3-4, 506-538 (2000). MSC: 91B26 PDF BibTeX XML Cite \textit{J. L. McCauley}, Physica A 285, No. 3--4, 506--538 (2000; Zbl 1060.91505) Full Text: DOI
Mantegna, Rosario N.; Stanley, H. Eugene Econophysics: Scaling and its breakdown in finance. (English) Zbl 0935.91023 J. Stat. Phys. 89, No. 1-2, 469-479 (1997). MSC: 91B28 60G50 82C41 PDF BibTeX XML Cite \textit{R. N. Mantegna} and \textit{H. E. Stanley}, J. Stat. Phys. 89, No. 1--2, 469--479 (1997; Zbl 0935.91023) Full Text: DOI
Lo, Andrew W. A non-random walk down Wall Street. (English) Zbl 0883.90019 Jerison, David (ed.) et al., The legacy of Norbert Wiener: a centennial symposium. In honor of the 100th anniversary of Norbert Wiener’s birth, October 8-14, 1994, Cambridge, MA, USA. Providence, RI: American Mathematical Society. Proc. Symp. Pure Math. 60, 149-183 (1997). MSC: 91B28 PDF BibTeX XML Cite \textit{A. W. Lo}, Proc. Symp. Pure Math. 60, 149--183 (1997; Zbl 0883.90019)
Ye, Zhongxing; Zhang, Yijun Improved genetic algorithm to optimal portfolio with risk control. (English) Zbl 0878.90005 J. Shanghai Jiaotong Univ. (Engl. Ed.) E-1, No. 2, 9-16 (1996). MSC: 91B28 68T05 91B30 PDF BibTeX XML Cite \textit{Z. Ye} and \textit{Y. Zhang}, J. Shanghai Jiaotong Univ. (Engl. Ed.) E-1, No. 2, 9--16 (1996; Zbl 0878.90005)
Schipp, Bernhard; Brechtmann, Markus Minimax estimation with random coefficients: Theory and application to stock returns. (English) Zbl 0844.62098 Acta Appl. Math. 43, No. 1, 113-126 (1996). MSC: 62P20 62J05 62C20 PDF BibTeX XML Cite \textit{B. Schipp} and \textit{M. Brechtmann}, Acta Appl. Math. 43, No. 1, 113--126 (1996; Zbl 0844.62098) Full Text: DOI
Lo, Andrew W. Long-term memory in stock market prices. (English) Zbl 0781.90023 Econometrica 59, No. 5, 1279-1313 (1991). MSC: 91B84 62P20 PDF BibTeX XML Cite \textit{A. W. Lo}, Econometrica 59, No. 5, 1279--1313 (1991; Zbl 0781.90023) Full Text: DOI
Morvai, Gusztáv Empirical log-optimal portfolio selection. (English) Zbl 0752.90004 Probl. Control Inf. Theory 20, No. 6, 453-463 (1991). MSC: 91G10 93E03 PDF BibTeX XML Cite \textit{G. Morvai}, Probl. Control Inf. Theory 20, No. 6, 453--463 (1991; Zbl 0752.90004)
Braglia, Marcello A note on stock price volatility. (English) Zbl 0736.90008 Riv. Mat. Univ. Parma, IV. Ser. 16, 263-269 (1990). Reviewer: M.Braglia MSC: 91B24 PDF BibTeX XML Cite \textit{M. Braglia}, Riv. Mat. Univ. Parma, IV. Ser. 16, 263--269 (1990; Zbl 0736.90008)
Worsley, K. J. Confidence regions and tests for a change-point in a sequence of exponential family random variables. (English) Zbl 0589.62016 Biometrika 73, 91-104 (1986). MSC: 62F03 62F25 62E15 62M10 PDF BibTeX XML Cite \textit{K. J. Worsley}, Biometrika 73, 91--104 (1986; Zbl 0589.62016) Full Text: DOI
de Gooijer, Jan G. Time series model selection and financial market efficiency. (English) Zbl 0555.62098 Methods Oper. Res. 50, 205-224 (1985). MSC: 62P20 62M10 91B84 PDF BibTeX XML Cite \textit{J. G. de Gooijer}, Methods Oper. Res. 50, 205--224 (1985; Zbl 0555.62098)
Magill, Michael J. P.; Benhabib, Jess Price relations on futures markets for storable commodities. (English) Zbl 0576.90010 J. Math. Anal. Appl. 91, 567-591 (1983). Reviewer: G.L.Gomez M MSC: 91B24 91B62 65K10 91B50 90C90 PDF BibTeX XML Cite \textit{M. J. P. Magill} and \textit{J. Benhabib}, J. Math. Anal. Appl. 91, 567--591 (1983; Zbl 0576.90010) Full Text: DOI
Mendelson, Haim A batch-ballot problem and applications. (English) Zbl 0482.60048 J. Appl. Probab. 19, 144-157 (1982). MSC: 60G50 91B06 91B82 PDF BibTeX XML Cite \textit{H. Mendelson}, J. Appl. Probab. 19, 144--157 (1982; Zbl 0482.60048) Full Text: DOI