Financial market dynamics

DOI10.1016/S0378-4371(02)01558-3zbMath1010.91036arXivcond-mat/0108017MaRDI QIDQ1859767

Fredrick Michael, Michael D. Johnson

Publication date: 19 February 2003

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0108017

zbMATH Keywords

stochastic processesnonlinear Fokker-Planck equationnonextensive Tsallis statistics

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (9)

Nonextensive statistical mechanics and economics ⋮ Deformed exponentials and applications to finance ⋮ Complexity Analysis and Systemic Risk in Finance: Some Methodological Issues ⋮ Modeling and simulation of financial returns under non-Gaussian distributions ⋮ Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics ⋮ Analytic approaches of the anomalous diffusion: a review ⋮ Financial market dynamics: superdiffusive or not? ⋮ A non-Gaussian option pricing model with skew ⋮ Characterization of anomalous diffusion classical statistics powered by deep learning (CONDOR)

Cites Work

• Unnamed Item
• The Langevin and Fokker-Planck equations in the framework of a generalized statistical mechanics
• A quantitative test of Gibbs' statistical mechanics
• Evolution of a stable profile for a class of nonlinear diffusion equations with fixed boundaries
• Introduction to Econophysics
• Handbook of stochastic methods for physics, chemistry and natural sciences.

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