The risks and returns of stock investment in a financial market

DOI10.1016/J.PHYSLETA.2013.01.006MaRDI QIDQ2284015zbMATH OpenOpenAlexFDO

Authors Jiang-Cheng Li, Dong-Cheng Mei

Publication date 13 January 2020

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physleta.2013.01.006

zbMATH Keywords

time delayfinancial marketHeston modelstock price returnsmean escape time

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Recommendations

• The returns and risks of investment portfolio in a financial market
• Common risk factors in the returns on stocks and bonds
• The riskiness of stock versus money market investment with stochastic rates
• Risk, Return, and Utility
• Risk-return relationship and portfolio management
• Investment theory and risk management
• Study of stock index risk measures
• scientific article; zbMATH DE number 1989765

Cites work

• {{#invoke:WikidataIB|getLink|Q5289008}} scientific article; zbMATH DE number 274379 (Why is no real title available?)
• {{#invoke:WikidataIB|getLink|Q5374080}} A closed-form solution for options with stochastic volatility with applications to bond and currency options
• {{#invoke:WikidataIB|getLink|Q3953065}} Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• {{#invoke:WikidataIB|getLink|Q1873980}} Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
• {{#invoke:WikidataIB|getLink|Q4213031}} Complete Models with Stochastic Volatility
• {{#invoke:WikidataIB|getLink|Q1577075}} Elements for a theory of financial risks
• {{#invoke:WikidataIB|getLink|Q4646480}} Empirical properties of asset returns: stylized facts and statistical issues
• {{#invoke:WikidataIB|getLink|Q1821471}} Generalized autoregressive conditional heteroscedasticity
• {{#invoke:WikidataIB|getLink|Q5426331}} Introduction to Econophysics
• {{#invoke:WikidataIB|getLink|Q3024615}} On the complete model with stochastic volatility by Hobson and Rogers
• {{#invoke:WikidataIB|getLink|Q4647229}} Probability distribution of returns in the Heston model with stochastic volatility
• {{#invoke:WikidataIB|getLink|Q978895}} Role of noise in a market model with stochastic volatility
• {{#invoke:WikidataIB|getLink|Q2372448}} The pricing of options for securities markets with delayed response
• {{#invoke:WikidataIB|getLink|Q950967}} Time-dependent solutions for stochastic systems with delays: perturbation theory and applications to financial physics
• {{#invoke:WikidataIB|getLink|Q3619056}} VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
• {{#invoke:WikidataIB|getLink|Q1850396}} Volatility in financial markets: Stochastic models and empirical results

Cited in

(11)

• Fluctuations-induced regime shifts in the endogenous credit system with time delay
• An approach for measuring corporation financial stability by econophysics and Bayesian method
• Combined action of non-Gaussian noise and time delay on stochastic dynamical features for a metapopulation system driven by a multiplicative periodic signal
• Roles of capital flow on the stability of a market system
• Controlling of stochastic resonance and noise enhanced stability induced by harmonic noises in a bistable system
• The roles of mean residence time on herd behavior in a financial market
• The roles of extrinsic periodic information on the stability of stock price
• Non-Gaussian noise-weakened stability in a foraging colony system with time delay
• The time delay restraining the herd behavior with Bayesian approach
• The returns and risks of investment portfolio in a financial market
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS

This page was built for publication: The risks and returns of stock investment in a financial market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2284015)