Derivation of non-classical stochastic price dynamics equations
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DOI: 10.1016/j.physa.2020.125118
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More about this item
Keywords
Asset prices; Asset price dynamics; Fat tails; Stochastic differential equations; Stochastic models; Price variance; Risk; Volatility; Supply and demand;All these keywords.
JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G40 - Financial Economics - - Behavioral Finance - - - General
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