A mathematical model for volatility flocking with a regime switching mechanism in a stock market
DOI10.1142/S0218202515500335zbMath1321.91097OpenAlexW2136447614MaRDI QIDQ5255197
Hyeong-Ohk Bae, Jane Yoo, Hyuncheul Lim, Yongsik Kim, Seung-Yeal Ha, Sang-hyeok Lee
Publication date: 12 June 2015
Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0218202515500335
Clustering in the social and behavioral sciences (91C20) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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