MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS

DOI10.1142/S0219024920500260zbMath1447.91169arXiv1708.06948OpenAlexW4214671535MaRDI QIDQ3304215

Andrea Macrina, Edward Hoyle, Levent Ali Mengütürk

Publication date: 5 August 2020

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

Full work available at URL: https://arxiv.org/abs/1708.06948

zbMATH Keywords

stochastic volatilityasymmetric informationpoint processesjump-diffusion\(f\)-divergenciesinformation-based theory

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15) Jump processes on discrete state spaces (60J74)

Related Items (3)

From irrevocably modulated filtrations to dynamical equations over random networks ⋮ Captive jump processes for bounded random systems with discontinuous dynamics ⋮ A family of interacting particle systems pinned to their ensemble average

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