Roles of capital flow on the stability of a market system

DOI10.1016/j.physa.2015.04.030zbMath1400.91684OpenAlexW773745460WikidataQ57535667 ScholiaQ57535667MaRDI QIDQ1618608

Jiang-Cheng Li, Dong-Cheng Mei, Deng-Ke Xu, Nian Sheng Tang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.04.030

zbMATH Keywords

financial marketsdelay timeHeston modelmean escape timerecycled noise

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)

Related Items

Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Role of noise in a market model with stochastic volatility
• Elements for a theory of financial risks
• Quantum market games
• Generalized autoregressive conditional heteroscedasticity
• Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Probability distribution of returns in the Heston model with stochastic volatility*
• Probability Distribution of the Residence Times in Periodically Fluctuating Metastable Systems
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Introduction to Econophysics
• Handbook of stochastic methods for physics, chemistry and natural sciences.