A mathematical model for asset pricing

DOI10.1016/j.amc.2011.06.028zbMath1237.91105OpenAlexW2082113241MaRDI QIDQ648341

M. Alisen, Hüseyin Merdan

Publication date: 22 November 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.06.028

zbMATH Keywords

asset pricingasset flow differential equationsdemand and supplyliquidity valuevaluation and momentum effect

Mathematics Subject Classification ID

Related Items (9)

An analysis on the fractional asset flow differential equations ⋮ Fat tails arise endogenously from supply/demand, with or without jump processes ⋮ Derivation of non-classical stochastic price dynamics equations ⋮ The quotient of normal random variables and application to asset price fat tails ⋮ Asset price volatility and price extrema ⋮ Asset price dynamics for a two-asset market system ⋮ Price equations with symmetric supply/demand; implications for fat tails ⋮ Bifurcation analysis of a single-group asset flow model ⋮ Stochastic asset flow equations: interdependence of trend and volatility

Cites Work

• Asset price dynamics with heterogeneous groups
• Numerical studies of differential equations related to theoretical financial markets
• Nonlinear price evolution
• Prospect Theory: An Analysis of Decision under Risk
• Asset flow and momentum: deterministic and stochastic equations
• Market oscillations induced by the competition between value-based and trend-based investment strategies

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