Microfoundations for diffusion price processes

DOI10.1007/s11579-010-0029-7zbMath1255.91441OpenAlexW1999692847MaRDI QIDQ1932534

Mikko S. Pakkanen

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-010-0029-7

zbMATH Keywords

stochastic volatilityheavy tailsdiffusion processesstock pricesmicrofoundations

Mathematics Subject Classification ID

Related Items (2)

From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes ⋮ Broken detailed balance and non-equilibrium dynamics in noisy social learning models

Uses Software

• R

Cites Work

• Financial price fluctuations in a stock market model with many interacting agents
• Market Volatility and Feedback Effects from Dynamic Hedging
• QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
• A Microeconomic Approach to Diffusion Models For Stock Prices
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Price Manipulation and Quasi-Arbitrage
• Regularly varying functions
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Microfoundations for diffusion price processes