Stochastic asset price dynamics and volatility using a symmetric supply and demand price equation

DOI10.1016/J.PHYSA.2019.02.049OpenAlexW2919917202MaRDI QIDQ2158944

Carey Caginalp, Gunduz Caginalp

Publication date: 26 July 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2019.02.049

zbMATH Keywords

stochastic equationsmathematical financesupply and demandmathematical economicsmarket dynamicsquotient of normalsprice maximum and minimumvariance extrema

Mathematics Subject Classification ID

Stochastic processes (60G99) Economic dynamics (91B55) Dynamic stochastic general equilibrium theory (91B51) Statistical mechanics, structure of matter (82-XX)

Related Items (4)

Derivation of non-classical stochastic price dynamics equations ⋮ Asset price volatility and price extrema ⋮ Asset flow model for a homogeneous group of investors: high-frequency trading limit ⋮ Stochastic asset flow equations: interdependence of trend and volatility

Cites Work

• A kinetic thermodynamics approach to the psychology of fluctuations in financial markets
• Risk premium and fair option prices under stochastic volatility: the HARA solution.
• The quotient of normal random variables and application to asset price fat tails
• Asset price volatility and price extrema
• Asset flow and momentum: deterministic and stochastic equations
• Stock market bubbles in the laboratory

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