Roles of capital flow on the stability of a market system

DOI10.1016/J.PHYSA.2015.04.030MaRDI QIDQ1618608zbMATH OpenOpenAlexWikidataFDO

Authors Jiang-Cheng Li, Dong-Cheng Mei, Deng-Ke Xu, N. S. 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 marketsHeston modeldelay timemean escape timerecycled noise

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1604683 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
• Elements for a theory of financial risks
• Generalized autoregressive conditional heteroscedasticity
• Handbook of stochastic methods for physics, chemistry and natural sciences.
• Introduction to Econophysics
• Probability Distribution of the Residence Times in Periodically Fluctuating Metastable Systems
• Probability distribution of returns in the Heston model with stochastic volatility
• Quantum market games
• Role of noise in a market model with stochastic volatility
• Stock price distributions with stochastic volatility: an analytic approach
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS

Cited in

(3)

• Role of noise in a market model with stochastic volatility
• Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange
• The roles of extrinsic periodic information on the stability of stock price

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