Replicating financial market dynamics with a simple self-organized critical lattice model

An Algorithm for Least-Squares Estimation of Nonlinear Parameters

Donald W. Marquardt · Journal of the Society for Industrial and Applied Mathematics · 1963 · 30.1K citations

Parameter Estimation, Engineering, Nonlinear Optimization +17

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 21.9K citations

Economics, Volatility Modeling, Asset Pricing +4

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.3K citations

Forecasting Methodology, Volatility Modeling, Engineering +17

A method for the solution of certain non-linear problems in least squares

Kenneth Levenberg · Quarterly of Applied Mathematics · 1944 · 12K citations · Full text

Numerical Analysis, Mathematical Programming, Engineering +9

Self-organized criticality: An explanation of the 1/<i>f</i>noise

Per Bak, Chao Tang, Kurt Wiesenfeld · Physical Review Letters · 1987 · 7.5K citations

Emergent Phenomenon, Pattern Formation, Cognitive Science +14