Stock price fluctuation as a diffusion in a random environment
From MaRDI portal
Publication:4698067
DOI10.1098/rsta.1994.0057zbMath0822.90022OpenAlexW2151272486MaRDI QIDQ4698067
Publication date: 14 May 1995
Published in: Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rsta.1994.0057
diffusionMarkov chainsfinancial marketprobabilistic cellular automatasequence of temporary equilibriadifferent types of agentsfluctuation of stock prices
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (9)
Limits of Limit-Order Books ⋮ Conditional distributions, exchangeable particle systems, and stochastic partial differential equations ⋮ Local weak convergence for sparse networks of interacting processes ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Convergence of locally and globally interacting Markov chains. ⋮ Equilibria in financial markets with heterogeneous agents: a probabilistic perspective ⋮ Large portfolio losses: A dynamic contagion model ⋮ THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING ⋮ The microstructure of stochastic volatility models with self-exciting jump dynamics
This page was built for publication: Stock price fluctuation as a diffusion in a random environment