A PROCESS-RECONSTRUCTION ANALYSIS OF MARKET FLUCTUATIONS

DOI10.1142/S0219024902001730zbMath1107.91318arXivcond-mat/0102301OpenAlexW3123578722MaRDI QIDQ3022084

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Publication date: 22 June 2005

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0102301

zbMATH Keywords

market fluctuationsGibbs measureschains with complete connections

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (4)

Reconstructing an economic space from a market metric ⋮ A fractional calculus interpretation of the fractional volatility model ⋮ No-arbitrage, leverage and completeness in a fractional volatility model ⋮ Divergent Perpetuities Modulated by Regime Switches

Cites Work

• How sampling reveals a process
• Relative entropy and identification of Gibbs measures in dynamical systems
• Speed of \(\overline d\)-convergence for Markov approximations of chains with complete connections. A coupling approach
• On a discrete dynamical model for local turbulence
• Robustness of the non-Gibbsian property: some examples
• Self-similarity and finite-time intermittent effects in turbulent sequences

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