|
[1] E. Dimson, M. Mussavian. " A brief history of market efficiency", European Financial Management 4 (1998): 91-193. [2] J. Voit. The statistical mechanics of financial markets. (Springer, 2013). [3] M. F. Osborne. "Brownian motion in the stock market." Operations research 7 (1959):145-173. [4] F. Fama Eugene. "The behavior of stock-market prices." The journal of Business 38 (1965):34-105. [5] N. Mantegna Rosario, H. Eugene Stanley. "Scaling behavior in the dynamics of an economic index." Nature 376 (1995):46-49. [6] R. Con. "Empirical properties of asset returns: stylized facts and statistical issues." (2001):223-236. [7] V. Plerou et al. "Universal and nonuniversal properties of cross correlations in financial time series." Phys. Rev. Lett. 83 (1999) :1471. [8] L. Laloux, P. Cizeau, J. P. Bouchaud, and M. Potters. "Random matrix theory and financial correlations." Phys. Rev. Lett. 83 (1999) :1467. [9] W. J. Ma, C. K. Hu, and R. E. Amritkar. "Stochastic dynamical model for stock-stock correlations." Physical Review E 70 (2004):026101. [10] W. J. Ma, et al. "Crossover behavior of stock returns and mean square displacements of particles governed by the Langevin equation. " EPL 102(2013):66003. [11] V. Kishore, M. S. Santhanam, R. E. Amritkar."Extreme events and event size fluctuations in biased random walks on networks." Physical Review E 85 (2012):056120. [12] C. W. Chen, W. J. Ma."Toward ascenario with complementary stochastic and deterministic information in financial fluctuations." Chinese Journal of Physics 56 (2018):853-862. [13] 施奕甫,「股票市場中事件發生的尺度性質」碩士論文,國立政治大學應用物理研究所(2017). [14] 吳培煜,「股票變化之波動的若干流體動力訊號-跨天效應」碩士論文,國立政治大學應用物理研究所(2018). [15] N. Balakrishnan, and Markos V. Koutras. Runs and scans with applications. (John Wiley & Sons, 2011). [16] F. S. Makri, Z. M. Psillakis."On success runs of a fixed length in Bernoulli sequences: Exact and asymptotic results." Computers & Mathematics with Applications 61 (2011):761-722. [17] K. Sinha, B. P. Sinha."On the distribution of runs of ones in binary strings." Computers & Mathematics with Applications 58 (2009):1816-1829. [18] 黃文璋, 數理統計, 華泰 , 2003. [19] 曾嘉瑤,「以代理人基模型模擬的施與受賽局」碩士論文,國立政治大學應用物理研究所(2013).
|