Derivation of non-classical stochastic price dynamics equations

DOI10.1016/j.physa.2020.125118OpenAlexW3080852097MaRDI QIDQ2142299

Carey Caginalp, Gunduz Caginalp

Publication date: 27 May 2022

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

Full work available at URL: https://arxiv.org/abs/1908.01103

zbMATH Keywords

stochastic differential equationsriskstochastic modelsvolatilitysupply and demandasset pricesfat tailsasset price dynamicsprice variance

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (2)

Asset flow model for a homogeneous group of investors: high-frequency trading limit ⋮ Construction of special soliton solutions to the stochastic Riccati equation

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