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Jump diffusion models and the evolution of financial prices

✍ Scribed by Annibal Figueiredo; Marcio T. de Castro; Sergio da Silva; Iram Gleria


Book ID
108241969
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
461 KB
Volume
375
Category
Article
ISSN
0375-9601

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Analysis of price diffusion in financial
✍ Takayuki Mizuno; Hideki Takayasu; Misako Takayasu πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 184 KB

Based on the new type of random walk process called the potentials of unbalanced complex kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is amplified 2Γ°2 ΓΎ bÞ Γ€1 times, where b is the coefficient of quadratic term of the potential. In short time scales the price