𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Modeling financial markets by the multiplicative sequence of trades

✍ Scribed by V. Gontis; B. Kaulakys

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
204 KB
Volume
344
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Incomplete financial market and the sequ
Incomplete financial market and the sequence of international trade liberalization
✍ Yue Ma πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 139 KB

## Abstract In this paper, an incomplete financial market model was built to illustrate the impacts of the market incompleteness on the benefits of trade liberalization. Particularly, it will focus on the investigation of the impacts of different sequences of opening up the goods market. That is, s

Forecasting for the generation of tradin
Forecasting for the generation of trading signals in financial markets
✍ Kin Lam; King Chung Lam πŸ“‚ Article πŸ“… 2000 πŸ› John Wiley and Sons 🌐 English βš– 154 KB

In this paper we show that optimal trading results can be achieved if we can forecast a key summary statistic of future prices. Consider the following optimization problem. Let the return r i (over time i 1, 2, . . . , n) for the ith day be given and the investor has to make investment decision d i

Stochastic volatility of financial marke
Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study
✍ A. Christian Silva; Victor M. Yakovenko πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 459 KB

We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random walk (CTRW) framework. The probability distribution of the stoc

The quality of volatility traded on the
The quality of volatility traded on the over-the-counter currency market: A multiple horizons study
✍ Vicentiu Covrig; Buen Sin Low πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 144 KB

## Abstract Previous studies of the quality of market‐forecasted volatility have used the volatility that is implied by exchange‐traded option prices. The use of implied volatility in estimating the market view of future volatility has suffered from variable measurement errors, such as the non‐sync

Symmetry analysis of the option pricing
Symmetry analysis of the option pricing model with dividend yield from financial markets
✍ Yifang Liu; Deng-Shan Wang πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 269 KB

In this work, the option pricing Black-Scholes model with dividend yield is investigated via Lie symmetry analysis. As a result, the complete Lie symmetry group and infinitesimal generators of the one-dimensional Black-Scholes equation are derived. On the basis of these infinitesimal generators, the