Role of noise in a market model with stochastic volatility

DOI10.1140/epjb/e2006-00388-1zbMath1189.91113arXivcond-mat/0510154WikidataQ62355561 ScholiaQ62355561MaRDI QIDQ978895

J. Martínez

Publication date: 25 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0510154

Mathematics Subject Classification ID

91B80: Applications of statistical and quantum mechanics to economics (econophysics)

91B60: Trade models

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)