Alejandro-Quiñones, Ángel L.; Bassler, Kevin E.; … - In: Physica A: Statistical Mechanics and its Applications 363 (2006) 2, pp. 383-392
The distribution of price returns is studied for a class of market models with Markovian dynamics. The models have a non-constant diffusion coefficient that depends on the value of the return. An analytical expression for the distribution of returns is obtained, and shown to match the results of...