Modelling and measuring the irrational behaviour of agents in financial markets: discovering the psychological soliton
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Publication:508295
DOI10.1016/J.CHAOS.2015.12.015zbMath1415.91327arXiv1601.01553OpenAlexW2223261727MaRDI QIDQ508295
Publication date: 10 February 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.01553
Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Dynamical systems in optimization and economics (37N40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (8)
Stochastic model of financial markets reproducing scaling and memory in volatility return intervals ⋮ A generalized error distribution copula-based method for portfolios risk assessment ⋮ Proactive hedging European call option pricing with linear position strategy ⋮ Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach ⋮ Complexity in quantitative finance and economics ⋮ Bayesian estimation and entropy for economic dynamic stochastic models: an exploration of overconsumption ⋮ The invisible hand and the rational agent are behind bubbles and crashes ⋮ Pricing of proactive hedging European option with dynamic discrete position strategy
Cites Work
- Market efficiency of the post communist East European stock markets
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Strategy for investments from Zipf law(s)
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Breather and soliton wave families for the sine–Gordon equation
- A Rational Route to Randomness
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