Distribution of asset price movement and market potential

DOI10.1088/1742-5468/2015/07/P07001zbMath1456.91123arXiv1403.3138MaRDI QIDQ3302320

Dong Han Kim, Stefano Marmi

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.3138

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Solution of the Fokker-Planck equation with a logarithmic potential
• Maximum entropy distributions inferred from option portfolios on an asset
• Information Theory and Statistical Mechanics
• Mathematics of Wave Propagation
• Empirical properties of asset returns: stylized facts and statistical issues
• Elements of Information Theory
• Unnamed Item

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