Stochastic asset flow equations: interdependence of trend and volatility

DOI10.1016/J.PHYSA.2021.125985MaRDI QIDQ2069088zbMATH OpenOpenAlexFDO

Authors Carey Caginalp, David Swigon, Gunduz Caginalp

Publication date 20 January 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2021.125985

zbMATH Keywords

autocovariancebehavioral effectsdemandprice oscillationsrandom supplystochastic differential equations

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cited in

(2)

• Asset flow and momentum: deterministic and stochastic equations
• Asset flow model for a homogeneous group of investors: high-frequency trading limit

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