A note on jump Atlas models
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Abstract: The market weight of a stock is its capitalization (cap) divided by the total market cap. Rank these weights from top to bottom. The capital distribution curve is a plot of weights versus ranks. For the US stock market, it is linear on a double logarithmic scale, and stable with respect to time (Fernholz, 2002). This property has been captured by models with rank-dependent dynamics: Each stock's cap logarithm is a Brownian motion with drift and diffusion coefficients depending on its current rank (Chatterjee, Pal, 2010). However, short-term stock movements have heavy tails. One can add jumps to Brownian motions to capture this. Observed time stability follows from a long-term stability result, stated and proved here. Via simulations, we find which properties of continuous models are preserved after adding jumps.
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Cites work
- A Formula for Semigroups, with an Application to Branching Diffusion Processes
- A phase transition behavior for Brownian motions interacting through their ranks
- Atlas models of equity markets
- Brownian particles with rank-dependent drifts: out-of-equilibrium behavior
- Capital distribution and portfolio performance in the mean-field Atlas model
- Comparison results for reflected jump-diffusions in the orthant with variable reflection directions and stability applications
- Competing particle systems evolving by interacting Lévy processes
- Diverse market models of competing Brownian particles with splits and mergers
- Equilibrium fluctuation of the Atlas model
- Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
- Financial Modelling with Jump Processes
- Hybrid Atlas models
- Infinite systems of competing Brownian particles
- Large systems of diffusions interacting through their ranks
- Markov Chains and Stochastic Stability
- On product-form stationary distributions for reflected diffusions with jumps in the positive orthant
- Stability and structural properties of stochastic storage networks
- Stability of Markovian processes II: continuous-time processes and sampled chains
- Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
- Stability properties of constrained jump-diffusion processes
- Stationary distributions of the Atlas model
- Stationary gap distributions for infinite systems of competing Brownian particles
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