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Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis
Xiao, Di; Wang, Jun - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4827-4838
Exchange Composite Index from January 1997 to July 2011, and the comparisons of return behaviors between the actual data and …
Persistent link: https://www.econbiz.de/10010874686
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Higher moments, extreme returns, and cross-section of cryptocurrency returns
Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012804999
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On origins of bubbles
Kakushadze, Zura - In: Journal of risk & control 4 (2017) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012236797
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The tail dependence structure between return and trading volume : an investigation on the Bitcoin market
Chang, Kuang-Liang - In: Applied economics 55 (2023) 11, pp. 1234-1246
Persistent link: https://www.econbiz.de/10013499060
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Characteristics of the volatility in the Korea composite stock price index
Lee, Chang-Yong - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 18, pp. 3837-3850
of 2007 using methods from the hydrodynamic turbulence. To this end, we focus on characteristics of the return and … these, we show that the non-Gaussian probability distribution of the return can be modeled by the convolution of the … conditional probability distribution of the return given the volatility and the distribution of the volatility per se. From this …
Persistent link: https://www.econbiz.de/10010591701
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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Framstad, Nils Chr. - 2011
This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...
Persistent link: https://www.econbiz.de/10010330249
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A threshold model for local volatility : evidence of leverage and mean reversion effects on historical data
Lejay, Antoine; Pigato, Paolo - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10012030906
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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Chr. Framstad, Nils - Økonomisk institutt, Universitetet i Oslo - 2011
This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...
Persistent link: https://www.econbiz.de/10009293647
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Optimal feedback control of stock prices under credit risk dynamics
Shao, Jinghai; Mitra, Sovan; Karathanasopoulos, Andreas - In: Risk management decisions and value under uncertainty, (pp. 1285-1318). 2022
Persistent link: https://www.econbiz.de/10013342116
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Fractional Brownian motion, random walks and binary market models
Sottinen, Tommi - In: Finance and Stochastics 5 (2001) 3, pp. 343-355
We prove a Donsker type approximation theorem for the fractional Brownian motion in the case $H1/2.$ Using this approximation we construct an elementary market model that converges weakly to the fractional analogue of the Black-Scholes model. We show that there exist arbitrage opportunities in...
Persistent link: https://www.econbiz.de/10005184373