The risks and returns of stock investment in a financial market

DOI10.1016/J.PHYSLETA.2013.01.006zbMATH Open1429.91348OpenAlexW2015561154MaRDI QIDQ2284015FDOQ2284015

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

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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)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Empirical properties of asset returns: stylized facts and statistical issues
• Elements for a theory of financial risks
• Introduction to Econophysics
• Complete Models with Stochastic Volatility
• Title not available (Why is that?)
• Volatility in financial markets: Stochastic models and empirical results
• On the complete model with stochastic volatility by Hobson and Rogers
• The pricing of options for securities markets with delayed response
• Probability distribution of returns in the Heston model with stochastic volatility
• Role of noise in a market model with stochastic volatility
• Time-dependent solutions for stochastic systems with delays: perturbation theory and applications to financial physics
• Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS

Cited In (11)

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

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