A mathematical model for asset pricing
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Publication:648341
DOI10.1016/J.AMC.2011.06.028zbMATH Open1237.91105OpenAlexW2082113241MaRDI QIDQ648341FDOQ648341
Publication date: 22 November 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.06.028
asset pricingasset flow differential equationsdemand and supplyliquidity valuevaluation and momentum effect
Cites Work
- Prospect Theory: An Analysis of Decision under Risk
- Asset flow and momentum: deterministic and stochastic equations
- Numerical studies of differential equations related to theoretical financial markets
- Market oscillations induced by the competition between value-based and trend-based investment strategies
- Nonlinear price evolution
- Asset price dynamics with heterogeneous groups
Cited In (12)
- Price equations with symmetric supply/demand; implications for fat tails
- The quotient of normal random variables and application to asset price fat tails
- Derivation of non-classical stochastic price dynamics equations
- Title not available (Why is that?)
- Asset price dynamics for a two-asset market system
- Fat tails arise endogenously from supply/demand, with or without jump processes
- Asset price volatility and price extrema
- Title not available (Why is that?)
- A mathematical model for the bond market.
- Stochastic asset flow equations: interdependence of trend and volatility
- An analysis on the fractional asset flow differential equations
- Bifurcation analysis of a single-group asset flow model
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