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Hybrid Atlas models

Citations

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Cited by:

  1. Ricardo T. Fernholz & Robert Fernholz, 2016. "A Rank-Based Approach to Zipf's Law," Papers 1602.08533, arXiv.org.
  2. Ricardo T. Fernholz & Christoffer Koch, 2018. "The Rank Effect," Papers 1812.06000, arXiv.org.
  3. Andrey Sarantsev, 2019. "Comparison Techniques for Competing Brownian Particles," Journal of Theoretical Probability, Springer, vol. 32(2), pages 545-585, June.
  4. David Itkin & Martin Larsson, 2020. "Robust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints," Papers 2009.08533, arXiv.org, revised Aug 2021.
  5. Robert Fernholz, 2017. "Stratonovich representation of semimartingale rank processes," Papers 1705.00336, arXiv.org.
  6. Robert Fernholz, 2018. "Numeraire markets," Papers 1801.07309, arXiv.org.
  7. Andrey Sarantsev, 2017. "Reflected Brownian Motion in a Convex Polyhedral Cone: Tail Estimates for the Stationary Distribution," Journal of Theoretical Probability, Springer, vol. 30(3), pages 1200-1223, September.
  8. Robert Fernholz & Tomoyuki Ichiba & Ioannis Karatzas, 2013. "A second-order stock market model," Annals of Finance, Springer, vol. 9(3), pages 439-454, August.
  9. David Itkin & Martin Larsson, 2021. "Open Markets and Hybrid Jacobi Processes," Papers 2110.14046, arXiv.org, revised Mar 2024.
  10. Fernholz, Ricardo & Fernholz, Robert, 2014. "Instability and concentration in the distribution of wealth," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 251-269.
  11. Benjamin Jourdain & Julien Reygner, 2015. "Capital distribution and portfolio performance in the mean-field Atlas model," Post-Print hal-00921151, HAL.
  12. Ricardo T. Fernholz & Robert Fernholz, 2022. "Permutation-weighted portfolios and the efficiency of commodity futures markets," Annals of Finance, Springer, vol. 18(1), pages 81-108, March.
  13. David Itkin & Benedikt Koch & Martin Larsson & Josef Teichmann, 2022. "Ergodic robust maximization of asymptotic growth under stochastic volatility," Papers 2211.15628, arXiv.org.
  14. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
  15. Ioannis Karatzas & Johannes Ruf, 2016. "Trading Strategies Generated by Lyapunov Functions," Papers 1603.08245, arXiv.org.
  16. Christa Cuchiero & Walter Schachermayer & Ting‐Kam Leonard Wong, 2019. "Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 773-803, July.
  17. Vassilios Papathanakos, 2016. "Portfolio Optimization in the Stochastic Portfolio Theory Framework," Papers 1601.07628, arXiv.org.
  18. Wenpin Tang, 2019. "Exponential ergodicity and convergence for generalized reflected Brownian motion," Queueing Systems: Theory and Applications, Springer, vol. 92(1), pages 83-101, June.
  19. Ioannis Karatzas & Johannes Ruf, 2017. "Trading strategies generated by Lyapunov functions," Finance and Stochastics, Springer, vol. 21(3), pages 753-787, July.
  20. Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
  21. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.
  22. David Itkin & Martin Larsson, 2021. "On A Class Of Rank-Based Continuous Semimartingales," Papers 2104.04396, arXiv.org.
  23. Blanchet, Adrien & Degond, Pierre, 2017. "Kinetic models for topological nearest-neighbor interactions," IAST Working Papers 17-65, Institute for Advanced Study in Toulouse (IAST).
  24. Ioannis Karatzas & Soumik Pal & Mykhaylo Shkolnikov, 2012. "Systems of Brownian particles with asymmetric collisions," Papers 1210.0259, arXiv.org.
  25. Aditya Maheshwari & Andrey Sarantsev, 2018. "Modeling Financial System with Interbank Flows, Borrowing, and Investing," Risks, MDPI, vol. 6(4), pages 1-26, November.
  26. David Itkin & Martin Larsson, 2022. "Robust asymptotic growth in stochastic portfolio theory under long‐only constraints," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 114-171, January.
  27. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-Weighted Portfolios with Negative Parameter," Papers 1504.01026, arXiv.org, revised Jul 2015.
  28. Shkolnikov, Mykhaylo, 2012. "Large systems of diffusions interacting through their ranks," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1730-1747.
  29. Ricardo T. Fernholz & Robert Fernholz, 2017. "Zipf's Law for Atlas Models," Papers 1707.04285, arXiv.org, revised Jun 2020.
  30. Ricardo T. Fernholz, 2016. "Empirical Methods for Dynamic Power Law Distributions in the Social Sciences," Papers 1602.00159, arXiv.org, revised Jun 2016.
  31. Brandon Flores & Blessing Ofori-Atta & Andrey Sarantsev, 2021. "A stock market model based on CAPM and market size," Annals of Finance, Springer, vol. 17(3), pages 405-424, September.
  32. Benjamin Jourdain & Julien Reygner, 2013. "Capital distribution and portfolio performance in the mean-field Atlas model," Papers 1312.5660, arXiv.org, revised Aug 2014.
  33. Aditya Maheshwari & Andrey Sarantsev, 2017. "Modeling Financial System with Interbank Flows, Borrowing, and Investing," Papers 1707.03542, arXiv.org, revised Oct 2018.
  34. Robert Fernholz & Tomoyuki Ichiba & Ioannis Karatzas, 2013. "A second-order stock market model," Papers 1302.3870, arXiv.org.
  35. Benjamin Jourdain & Julien Reygner, 2015. "Capital distribution and portfolio performance in the mean-field Atlas model," Annals of Finance, Springer, vol. 11(2), pages 151-198, May.
  36. Fernholz, Ricardo T., 2016. "A Model of economic mobility and the distribution of wealth," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 168-192.
  37. S. Franceschi, 2021. "Green’s Functions with Oblique Neumann Boundary Conditions in the Quadrant," Journal of Theoretical Probability, Springer, vol. 34(4), pages 1775-1810, December.
  38. Sergio A. Almada Monter & Mykhaylo Shkolnikov & Jiacheng Zhang, 2018. "Dynamics of observables in rank-based models and performance of functionally generated portfolios," Papers 1802.03593, arXiv.org.
  39. Hernández, Freddy & Jara, Milton & Valentim, Fábio Júlio, 2017. "Equilibrium fluctuations for a discrete Atlas model," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 783-802.
  40. Xin Guo & Wenpin Tang & Renyuan Xu, 2018. "A class of stochastic games and moving free boundary problems," Papers 1809.03459, arXiv.org, revised Oct 2021.
  41. Itkin, David, 2024. "Generalized Rank Dirichlet distributions," Statistics & Probability Letters, Elsevier, vol. 205(C).
  42. Olivier Gallay & Fariba Hashemi & Max-Olivier Hongler, 2019. "Imitation, Proximity, And Growth — A Collective Swarm Dynamics Approach," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-43, August.
  43. Andrey Sarantsev, 2014. "On a class of diverse market models," Annals of Finance, Springer, vol. 10(2), pages 291-314, May.
  44. Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.
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