Dynamic equilibrium and volatility in financial asset markets
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) Other game-theoretic models (91A40) General equilibrium theory (91B50)
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Cites work
- A Model of Intertemporal Asset Prices Under Asymmetric Information
- Continuous Auctions and Insider Trading
- scientific article; zbMATH DE number 3866991 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 3998900 (Why is no real title available?)
- Information, trade and common knowledge
- Large Sample Properties of Generalized Method of Moments Estimators
- Nonparametric Pricing of Interest Rate Derivative Securities
- Rational expectations equilibrium with conditioning on past prices: A mean-variance example
- Smart Money, Noise Trading and Stock Price Behaviour
- The Present-Value Relation: Tests Based on Implied Variance Bounds
- The Price Variability-Volume Relationship on Speculative Markets
- The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
Cited in
(9)- Asset price volatility in a nonconvex general equilibrium model
- Insights into the macroscopic behavior of equity markets: theory and application
- Market volatility and feedback effects from dynamic hedging
- Changes in the output Euler equation and asset markets participation
- Asset flow and momentum: deterministic and stochastic equations
- MARKET FORCES AND DYNAMIC ASSET PRICING
- Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
- Aspetti dinamici di leggi finanziarie scindibili
- Dynamic effects of increasing heterogeneity in financial markets
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