Variable diffusion in stock market fluctuations

DOI10.1016/J.PHYSA.2014.10.024MaRDI QIDQ1783265zbMATH OpenOpenAlexFDO

Authors Jia-Chen Hua, Lijian Chen, Liberty Falcon, Joseph L. McCauley, Gemunu H. Gunaratne

Publication date 20 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2014.10.024

zbMATH Keywords

econophysicsorder bookstock marketsvariable diffusion

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A mathematical approach to order book modeling
• A theory of non‐Gaussian option pricing
• Dynamics of Markets
• Econophysics of order-driven markets. Proceedings of the 5th Econophys-Kolkata conference, Kolkata, India, March 2010
• Fractional Brownian Motions, Fractional Noises and Applications
• scientific article; zbMATH DE number 1808203 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Multi-scaling in finance
• Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
• Stochastic Calculus and Differential Equations for Physics and Finance
• Switching phenomena in a system with no switches
• Switching processes in financial markets
• The pricing of options and corporate liabilities
• Variable step random walks and self-similar distributions

Cited in

(4)

• Decomposing the stock market intraday dynamics
• High-dimensional time series prediction using kernel-based koopman mode regression
• First-passage-time distribution for variable-diffusion processes
• Intraday empirical analysis and modeling of diversified world stock indices

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