19 citations · 19 across the 3 of their papers we have counts for
3 papers
q-fin.ST2014
Testing for Detailed Balance in a Financial Market
Rudolf Fiebig, David Musgrove
We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imp…
q-fin.CP2011
Arbitrage-free Self-organizing Markets with GARCH Properties: Generating them in the Lab with a Lattice Model
B. Dupoyet, H. R. Fiebig, D. P. Musgrove
We extend our studies of a quantum field model defined on a lattice having the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of eco…
q-fin.CP2010★ 19 cited
Replicating financial market dynamics with a simple self-organized critical lattice model
B. Dupoyet, H. R. Fiebig, D. P. Musgrove
We explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of eco…