Exploring the dynamics of financial markets: from stock prices to strategy returns

DOI10.1016/J.CHAOS.2016.03.014MaRDI QIDQ508286zbMATHOpenAlexFDO

Authors Lisa Borland

Publication date 10 February 2017

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2016.03.014

zbMATH Keywords

option pricingvolatilitymarket panicstrategy dynamics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5082553 (Why is no real title available?)
• scientific article; zbMATH DE number 3699894 (Why is no real title available?)
• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A non-Gaussian option pricing model with skew
• A theory of non‐Gaussian option pricing
• Dynamic instability in a phenomenological model of correlated assets
• Dynamic optimal execution in a mixed-market-impact Hawkes price model
• Financial Derivatives
• Financial Modelling with Jump Processes
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• Handbook of econometrics. Vol. 4
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
• On option pricing models in the presence of heavy tails
• Possible generalization of Boltzmann-Gibbs statistics.
• Statistical signatures in times of panic: markets as a self-organizing system
• The pricing of options and corporate liabilities

Cited in

(5)

• The non-markovian property of \(q\)-Gaussian process
• Forecasting financial time series with Boltzmann entropy through neural networks
• Pricing of financial derivatives based on the Tsallis statistical theory
• Disturbances and complexity in volatility time series
• Complexity in quantitative finance and economics

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