A new Model for Stock Price Movements
Year of publication: |
2007-08-10
|
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Authors: | Venier, Guido |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | stock pricing | chaos theory | deterministic diffusion | heteroscedasticity | fat tails | long range dependence | stylized facts of economic time series | fractional brownian motion | levy stable distributions | brownian motion | black scholes | option pricing | CAPM | market efficiency |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | G14 - Information and Market Efficiency; Event Studies ; D58 - Computable and Other Applied General Equilibrium Models ; G13 - Contingent Pricing; Futures Pricing ; C32 - Time-Series Models ; D53 - Financial Markets ; G12 - Asset Pricing ; Z0 - Other Special Topics. General ; D79 - Analysis of Collective Decision-Making. Other |
Source: |
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