A mathematical model for asset pricing

DOI10.1016/J.AMC.2011.06.028MaRDI QIDQ648341zbMATH OpenOpenAlexFDO

Authors M. Alisen, Hüseyin Merdan

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

zbMATH Keywords

asset flow differential equationsasset pricingdemand and supplyliquidity valuevaluation and momentum effect

Mathematics Subject Classification ID

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Cites work

• Asset flow and momentum: deterministic and stochastic equations
• Asset price dynamics with heterogeneous groups
• Market oscillations induced by the competition between value-based and trend-based investment strategies
• Nonlinear price evolution
• Numerical studies of differential equations related to theoretical financial markets
• Prospect Theory: An Analysis of Decision under Risk

Cited in

(21)

• Hybrid methodology for technical analysis
• Applications of parameterized nonlinear ordinary differential equations and dynamic systems: an example of the Taiwan stock index
• Price equations with symmetric supply/demand; implications for fat tails
• Stochastic asset flow equations: interdependence of trend and volatility
• Fat tails arise endogenously from supply/demand, with or without jump processes
• Derivation of non-classical stochastic price dynamics equations
• The quotient of normal random variables and application to asset price fat tails
• Asset price volatility and price extrema
• Applications of linear ordinary differential equations and dynamic system to economics - an example of Taiwan stock index TAIEX
• An analysis on the fractional asset flow differential equations
• A mathematical model for the bond market.
• Bifurcation analysis of a single-group asset flow model
• Modeling asset prices
• On the Walrasian-Samuelson price adjustment model
• scientific article; zbMATH DE number 5521802 (Why is no real title available?)
• Asset price dynamics for a two-asset market system
• scientific article; zbMATH DE number 2169152 (Why is no real title available?)
• Market oscillations induced by the competition between value-based and trend-based investment strategies
• Stochastic dynamical analysis, Monte-Carlo simulations, and waves dynamics of a coupled volatility and option pricing model under Brownian motion
• Exact solutions of a model for asset prices by K. Takaoka
• Asset price dynamics with heterogeneous groups

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