A second-order stock market model
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DOI: 10.1007/s10436-012-0193-2
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References listed on IDEAS
- Mitchel Y. Abolafia (ed.), 2005. "Markets," Books, Edward Elgar Publishing, number 2788.
- Tomoyuki Ichiba & Vassilios Papathanakos & Adrian Banner & Ioannis Karatzas & Robert Fernholz, 2009. "Hybrid Atlas models," Papers 0909.0065, arXiv.org, revised Apr 2011.
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Cited by:
- Ali Al-Aradi & Sebastian Jaimungal, 2019. "Active and Passive Portfolio Management with Latent Factors," Papers 1903.06928, arXiv.org.
- Sergey Sosnovskiy, 2015. "Market shape formation, statistical equilibrium and neutral evolution theory," Papers 1506.07163, arXiv.org.
- David Itkin & Martin Larsson, 2024. "Calibrated rank volatility stabilized models for large equity markets," Papers 2403.04674, arXiv.org.
- Kangjianan Xie, 2020. "Leakage of rank-dependent functionally generated trading strategies," Annals of Finance, Springer, vol. 16(4), pages 573-591, December.
- Benjamin Jourdain & Julien Reygner, 2013. "Capital distribution and portfolio performance in the mean-field Atlas model," Papers 1312.5660, arXiv.org, revised Aug 2014.
- Sergey Sosnovskiy, 2015. "On financial applications of the two-parameter Poisson-Dirichlet distribution," Papers 1501.01954, arXiv.org, revised Jul 2015.
- Benjamin Jourdain & Julien Reygner, 2015. "Capital distribution and portfolio performance in the mean-field Atlas model," Post-Print hal-00921151, HAL.
- Steven Campbell & Qien Song & Ting-Kam Leonard Wong, 2024. "Macroscopic properties of equity markets: stylized facts and portfolio performance," Papers 2409.10859, arXiv.org, revised Oct 2024.
- Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
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More about this item
Keywords
Stochastic portfolio theory; Atlas model; First-order model; Second-order model; G10;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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