INVESTOR'S SENTIMENT IN MULTI-AGENT MODEL OF THE CONTINUOUS DOUBLE AUCTION

DOI10.1142/S0219024916500400zbMath1396.91751arXiv1208.3083OpenAlexW2285114437MaRDI QIDQ2828057

Stepan Muzychka, Kirill Vaninsky, Alexander Lykov

Publication date: 24 October 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.3083

zbMATH Keywords

behavioral financecontinuous double auctiondiffusion with variable volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• Unnamed Item
• The birth and death processes as diffusion processes
• One-dimensional classical massive particle in the ideal gas
• A class of nonlinear random walks related to the Ornstein-Uhlenbeck process
• MEAN-REVERTING STOCHASTIC VOLATILITY

This page was built for publication: INVESTOR'S SENTIMENT IN MULTI-AGENT MODEL OF THE CONTINUOUS DOUBLE AUCTION