Jourdain, Benjamin; Sbai, Mohamed - In: Quantitative Finance 12 (2012) 5, pp. 805-818
In this paper, we are interested in continuous-time models in which the index level induces feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed into a systemic part proportional to the log-returns of the...