Radical Complexity
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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.
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2014 ◽
pp. 538-567
2010 ◽
Vol 18
(3)
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pp. 144-161
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1988 ◽
Vol 52
(12)
◽
pp. 775-787
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1987 ◽
Vol 16
(3)
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pp. 306-316
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