A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback

DOI10.1080/14697688.2011.642810zbMath1398.91693arXiv0811.0182MaRDI QIDQ4683036

Marcus Schofield, William T. Shaw

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.0182

zbMATH Keywords

stochastic processes; risk management; value at risk; agent based modelling; technical trading; structure of financial markets; tail analysis; complexity in finance

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Reduction and reconstruction of stochastic differential equations via symmetries, Statistical Inference for Student Diffusion Process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A fractional generalization of the Poisson processes
• The Forbes 400, the Pareto power-law and efficient markets
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Non-Gaussian distribution for stock returns and related stochastic differential equation
• More statistical properties of order books and price impact
• An analysis of price impact function in order-driven markets
• The integral of geometric Brownian motion
• Stable Infinite Variance Fluctuations in Randomly Amplified Langevin Systems
• Statistical Inference for Student Diffusion Process
• A Course in Financial Calculus
• Quantile mechanics
• INFORMATION-BASED ASSET PRICING
• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
• Continuous Auctions and Insider Trading
• Complete Models with Stochastic Volatility
• Polar Generation of Random Variates with the t-Distribution
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts
• Statistical theory of the continuous double auction
• Spectral Expansions for Asian (Average Price) Options
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• Note on the inversion theorem
• Exponential functionals of Brownian motion and related processes