A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
DOI10.1080/14697688.2011.642810zbMath1398.91693arXiv0811.0182OpenAlexW2149060689MaRDI QIDQ4683036
Marcus Schofield, William T. Shaw
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0811.0182
stochastic processesrisk managementvalue at riskagent based modellingtechnical tradingstructure of financial marketstail analysiscomplexity in finance
Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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