The quotient of normal random variables and application to asset price fat tails

DOI10.1016/J.PHYSA.2018.02.077OpenAlexW2786114531MaRDI QIDQ2150371

Carey Caginalp, Gunduz Caginalp

Publication date: 27 June 2022

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

Full work available at URL: https://arxiv.org/abs/1802.04778

zbMATH Keywords

heavy tailsleptokurtosisfat tailssupply/demandasset price changequotient of normalsreturns on stockstail of distribution

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (7)

Fat tails arise endogenously from supply/demand, with or without jump processes ⋮ Derivation of non-classical stochastic price dynamics equations ⋮ Stochastic asset price dynamics and volatility using a symmetric supply and demand price equation ⋮ A generalized error distribution copula-based method for portfolios risk assessment ⋮ Asset price volatility and price extrema ⋮ Price equations with symmetric supply/demand; implications for fat tails ⋮ On the distribution of quotient of random variables conditioned to the positive quadrant

Uses Software

• zoverw

Cites Work

• The Pricing of Options and Corporate Liabilities
• The nonlinear price dynamics of U.S. equity ETFs
• A mathematical model for asset pricing
• The multivariate normal distribution
• Institutional Investors and Stock Market Volatility
• Initial cash/asset ratio and asset prices: An experimental study
• Asset flow and momentum: deterministic and stochastic equations
• Inference about the intersection in two-phase regression
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: The quotient of normal random variables and application to asset price fat tails