Transition probability, dynamic regimes, and the critical point of financial crisis

DOI10.1016/J.PHYSA.2015.02.015zbMath1400.91689OpenAlexW2080321590MaRDI QIDQ1618427

Yinan Tang, Ping Chen

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.02.015

zbMATH Keywords

critical pointbirth-death processtransition probabilityfinancial crisis

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (1)

Detecting stock market turning points using wavelet leaders method

Cites Work

• The Pricing of Options and Corporate Liabilities
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• Switching phenomena in a system with no switches
• A master equation approach to option pricing
• Bank Runs, Deposit Insurance, and Liquidity
• Time to Build and Aggregate Fluctuations
• A Diffusion Model for Growth Stocks
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