Stochastic asset price dynamics and volatility using a symmetric supply and demand price equation

DOI10.1016/J.PHYSA.2019.02.049MaRDI QIDQ2158944zbMATH OpenOpenAlexFDO

Authors Carey Caginalp, Gunduz Caginalp

Publication date 26 July 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.02.049

zbMATH Keywords

market dynamicsmathematical economicsmathematical financeprice maximum and minimumquotient of normalsstochastic equationssupply and demandvariance extrema

Mathematics Subject Classification ID

Stochastic processes (60G99) Statistical mechanics, structure of matter (82-XX) Dynamic stochastic general equilibrium theory (91B51) Economic dynamics (91B55)

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Cites work

• A kinetic thermodynamics approach to the psychology of fluctuations in financial markets
• Asset flow and momentum: deterministic and stochastic equations
• Asset price volatility and price extrema
• Risk premium and fair option prices under stochastic volatility: the HARA solution.
• Stock market bubbles in the laboratory
• The quotient of normal random variables and application to asset price fat tails

Cited in

(9)

• Asset price volatility in a nonconvex general equilibrium model
• Dynamic equilibrium and volatility in financial asset markets
• Stochastic asset flow equations: interdependence of trend and volatility
• Derivation of non-classical stochastic price dynamics equations
• Asset price volatility and price extrema
• The volatility of asset prices in a stochastic production economy
• EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹
• 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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