Understanding price discovery in interconnected markets: generalized Langevin process approach and simulation
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Publication:2148671
DOI10.1016/J.PHYSA.2017.08.132OpenAlexW2761097172MaRDI QIDQ2148671FDOQ2148671
Authors: Natalya A. Schenck, Philip A. Horvath, Amit K. Sinha 
Publication date: 24 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2017.08.132
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Cites Work
- Algorithm AS 123: Mixtures of Beta Distributions
- The pricing of options and corporate liabilities
- Finite mixture models
- Thermodynamic analogies in economics and finance: instability of markets
- Title not available (Why is that?)
- Portfolio optimization when asset returns have the Gaussian mixture distribution
- Eigenvalues of the Fokker–Planck Operator and the Approach to Equilibrium for Diffusions in Potential Fields
- Two Mixed Normal Densities from Cointegration Analysis
- TRANSIENT BROWNIAN MOTION IN RESPONSE TO A SUDDEN CHANGE OF TEMPERATURE
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