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Local times of ranked continuous semimartingales
Citations
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Cited by:
- Ioannis Karatzas & Johannes Ruf, 2017. "Trading strategies generated by Lyapunov functions," Finance and Stochastics, Springer, vol. 21(3), pages 753-787, July.
- Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-Weighted Portfolios with Negative Parameter," Papers 1504.01026, arXiv.org, revised Jul 2015.
- Karatzas, Ioannis & Ruf, Johannes, 2017. "Trading strategies generated by Lyapunov functions," LSE Research Online Documents on Economics 69177, London School of Economics and Political Science, LSE Library.
- David Itkin & Martin Larsson, 2024. "Calibrated rank volatility stabilized models for large equity markets," Papers 2403.04674, arXiv.org.
- Zhen-Qing Chen & Xinwei Feng, 2021. "Reflected Backward Stochastic Differential Equation with Rank-Based Data," Journal of Theoretical Probability, Springer, vol. 34(3), pages 1213-1247, September.
- 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.
- Constantinos Kardaras & Scott Robertson, 2018. "Ergodic robust maximization of asymptotic growth," Papers 1801.06425, arXiv.org.
- David Itkin & Martin Larsson, 2021. "Open Markets and Hybrid Jacobi Processes," Papers 2110.14046, arXiv.org, revised Mar 2024.
- Kangjianan Xie, 2020. "Leakage of rank-dependent functionally generated trading strategies," Annals of Finance, Springer, vol. 16(4), pages 573-591, December.
- Kardaras, Constantinos & Robertson, Scott, 2021. "Ergodic robust maximization of asymptotic growth," LSE Research Online Documents on Economics 121039, London School of Economics and Political Science, LSE Library.
- David Itkin & Martin Larsson, 2021. "On A Class Of Rank-Based Continuous Semimartingales," Papers 2104.04396, arXiv.org.
- Ioannis Karatzas & Soumik Pal & Mykhaylo Shkolnikov, 2012. "Systems of Brownian particles with asymmetric collisions," Papers 1210.0259, arXiv.org.
- Donghan Kim, 2022. "Local Times for Continuous Paths of Arbitrary Regularity," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2540-2568, December.
- Ricardo T. Fernholz & Robert Fernholz, 2017. "Zipf's Law for Atlas Models," Papers 1707.04285, arXiv.org, revised Jun 2020.
- Ruf, Johannes & Xie, Kangjianan, 2019. "Generalized Lyapunov functions and functionally generated trading strategies," LSE Research Online Documents on Economics 100023, London School of Economics and Political Science, LSE Library.
- Donghan Kim, 2019. "Open Markets," Papers 1912.13110, arXiv.org.
- Donghan Kim, 2023. "Market-to-book ratio in stochastic portfolio theory," Finance and Stochastics, Springer, vol. 27(2), pages 401-434, April.
- Christa Cuchiero & Janka Moller, 2023. "Signature Methods in Stochastic Portfolio Theory," Papers 2310.02322, arXiv.org, revised Oct 2024.
- Johannes Ruf & Kangjianan Xie, 2018. "Generalised Lyapunov Functions and Functionally Generated Trading Strategies," Papers 1801.07817, arXiv.org.
- Andrey Sarantsev, 2019. "Comparison Techniques for Competing Brownian Particles," Journal of Theoretical Probability, Springer, vol. 32(2), pages 545-585, June.
- Robert Fernholz, 2017. "Stratonovich representation of semimartingale rank processes," Papers 1705.00336, arXiv.org.
- 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.
- Tomoyuki Ichiba & Vassilios Papathanakos & Adrian Banner & Ioannis Karatzas & Robert Fernholz, 2009. "Hybrid Atlas models," Papers 0909.0065, arXiv.org, revised Apr 2011.
- Kangjianan Xie, 2019. "Leakage of rank-dependent functionally generated trading strategies," Papers 1912.04221, arXiv.org.
- 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.
- Ioannis Karatzas & Johannes Ruf, 2016. "Trading Strategies Generated by Lyapunov Functions," Papers 1603.08245, arXiv.org.
- Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.
- Ricardo T. Fernholz & Robert Fernholz, 2020. "Permutation-Weighted Portfolios and the Efficiency of Commodity Futures Markets," Papers 2001.06914, arXiv.org, revised Dec 2020.
- repec:ehl:lserod:102424 is not listed on IDEAS
- Donghan Kim, 2022. "Market-to-book Ratio in Stochastic Portfolio Theory," Papers 2206.03742, arXiv.org.
- Ioannis Karatzas & Donghan Kim, 2021. "Open markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1111-1161, October.