Estimating phenomenological parameters in multi-assets markets

zbMATH Open1267.91085MaRDI QIDQ5301147FDOQ5301147

Authors: Giacomo Raffaelli, Matteo Marsili 

Publication date: 2 July 2013

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Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cited In (4)

• Closed-form Approximations in Multi-asset Market Making
• Multi-asset empirical martingale price estimators derivatives
• Multivariate asset price dynamics with stochastic covariation
• Dynamic instability in generic model of multi-assets markets

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