Fat tails arise endogenously from supply/demand, with or without jump processes
DOI10.3934/math.2021283zbMath1484.91312arXiv2011.08275OpenAlexW3133763896MaRDI QIDQ2133227
Publication date: 29 April 2022
Published in: AIMS Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.08275
jump discontinuitiesfat tailsasset price dynamicsquotient of Levy jump-diffusion processesstochastic pricessupply and demand functions
Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on general state spaces (60J76)
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