A model for the dynamic behavior of financial assets affected by news: the case of Tohoku-Kanto earthquake

DOI10.1016/j.physleta.2011.08.043zbMath1252.91050OpenAlexW1976419375MaRDI QIDQ691938

T. Ochiai, J. C. Nacher

Publication date: 4 December 2012

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2011.08.043

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stabilization of systems by feedback (93D15) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Statistical mechanics of economics I
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Theory of Financial Risk and Derivative Pricing
• Introduction to Econophysics
• Handbook of stochastic methods for physics, chemistry and the natural sciences.

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