Price dynamics of the financial markets using the stochastic differential equation for a potential double well

DOI10.1016/J.PHYSA.2017.08.106OpenAlexW2751719015WikidataQ115341753 ScholiaQ115341753MaRDI QIDQ2150039

Yanyan Li

Publication date: 27 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.08.106

zbMATH Keywords

stochastic differential equationprice dynamicsdouble well

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (7)

Two-dimensional stochastic dynamics as model for time evolution of the financial market ⋮ Stochastic process with multiplicative structure for the dynamic behavior of the financial market ⋮ APPLICATION OF NONLINEAR DYNAMIC EXPECTATION AND STOCHASTIC DIFFERENTIAL EQUATION IN VALUATION AND FINANCING RISK MEASUREMENT OF TECHNOLOGY-BASED SMALL AND MEDIUM-SIZED ENTERPRISES ⋮ Breaks down of the modeling of the financial market with addition of non-linear terms in the Itô stochastic process ⋮ Existence of geometric ergodic periodic measures of stochastic differential equations ⋮ Local stochastic stability of SIRS models without Lyapunov functions ⋮ Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations

Cites Work

• The Pricing of Options and Corporate Liabilities
• Stochastic methods. A handbook for the natural and social sciences
• On the probability distribution of stock returns in the Mike-Farmer model
• Self-organizing Ising model of financial markets
• Dynamical analysis of a differential algebraic bio-economic model with stage-structured and stochastic fluctuations
• Emergent dynamics of a macroeconomic agent based model with capital and credit
• Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents
• Stochastic calculus for finance. II: Continuous-time models.
• Modeling of the financial market using the two-dimensional anisotropic Ising model
• Bayesian Disorder Problems on Filtered Probability Spaces
• Introduction to Econophysics

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