A model for the dynamic behavior of financial assets affected by news: the case of Tohoku-Kanto earthquake

DOI10.1016/J.PHYSLETA.2011.08.043MaRDI QIDQ691938zbMATH OpenOpenAlexFDO

Authors T. Ochiai, J. C. Nacher

Publication date 4 December 2012

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physleta.2011.08.043

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; risk measures (91G70) Stabilization of systems by feedback (93D15)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• Handbook of stochastic methods for physics, chemistry and the natural sciences.
• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• Introduction to Econophysics
• Statistical mechanics of economics I
• The pricing of options and corporate liabilities
• Theory of Financial Risk and Derivative Pricing

Cited in

(3)

• News reaction in financial markets within a behavioral finance model with heterogeneous agents
• Modelling and measuring the irrational behaviour of agents in financial markets: discovering the psychological soliton
• Financial models induced from auxiliary indices and Twitter data

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