Time evolution of a financial market index as an effect of the joint action of Gaussian and Lévy fluctuations

DOI<link itemprop=identifier href="https://doi.org/10.1002/(SICI)1526-4025(199910/12)15:4<235::AID-ASMB389>3.0.CO;2-8" /><235::AID-ASMB389>3.0.CO;2-8 10.1002/(SICI)1526-4025(199910/12)15:4<235::AID-ASMB389>3.0.CO;2-8zbMath0966.60080OpenAlexW2063441069MaRDI QIDQ2711690

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Publication date: 25 April 2001

Full work available at URL: https://doi.org/10.1002/(sici)1526-4025(199910/12)15:4<235::aid-asmb389>3.0.co;2-8

zbMATH Keywords

anomalous diffusioninverse power lawfinancial indexmarket-maker operators

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Microeconomic theory (price theory and economic markets) (91B24) Diffusion processes (60J60)

Cites Work

• Coordination and correlation in Markov rational belief equilibria

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