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

DOI10.1016/J.CHAOS.2016.03.014zbMATH Open1415.91277OpenAlexW2334170640MaRDI QIDQ508286FDOQ508286

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)

Cites Work

• The pricing of options and corporate liabilities
• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Possible generalization of Boltzmann-Gibbs statistics.
• Dynamic optimal execution in a mixed-market-impact Hawkes price model
• Title not available (Why is that?)
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• On option pricing models in the presence of heavy tails
• A non-Gaussian option pricing model with skew
• Handbook of econometrics. Vol. 4
• Dynamic instability in a phenomenological model of correlated assets
• Title not available (Why is that?)
• Statistical signatures in times of panic: markets as a self-organizing system
• Title not available (Why is that?)
• A theory of non‐Gaussian option pricing
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
• Financial Derivatives

Cited In (5)

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

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