Jump diffusion models and the evolution of financial prices

DOI10.1016/J.PHYSLETA.2011.06.051MaRDI QIDQ715465zbMATHOpenAlexFDO

Authors A. Figueiredo, Marcio T. De Castro, Sergio Da Silva, I. M. Gléria

Publication date 29 October 2012

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

Full work available at URL https://doi.org/10.1016/j.physleta.2011.06.051

zbMATH Keywords

stochastic processeseconophysicsKramersMoyal

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 3304503 (Why is no real title available?)
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• Alternative models for stock price dynamics.
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• Brownian motion in a field of force and the diffusion model of chemical reactions
• Introduction to Econophysics
• Minority game with local interactions due to the presence of herding behavior
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• On the origins of truncated Lévy flights
• Power law in firms bankruptcy
• The origin of fat-tailed distributions in financial time series
• The seismography of crashes in financial markets
• Truncated Lévy walks and an emerging market economic index

Cited in

(12)

• Stabilization of jump values of stocks and bonds in the \((B,S)\)-market model
• scientific article; zbMATH DE number 2015370 (Why is no real title available?)
• scientific article; zbMATH DE number 6174812 (Why is no real title available?)
• Diffusion equations and the time evolution of foreign exchange rates
• Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
• Efficient and flexible model-based clustering of jumps in diffusion processes
• Jump-Diffusion Models Driven by Lévy Processes
• scientific article; zbMATH DE number 5669952 (Why is no real title available?)
• The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
• Ehrenfest model with large jumps in finance
• Structural estimation of jump-diffusion processes in macroeconomics
• A jump model for fads in asset prices under asymmetric information

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