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Atlas models of equity markets
8 references·13 citing·29 second hop
Atlas models of equity markets (2005)Atlas models of equity marketsBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Differential Equations (2006)Stochastic Differential Equat…Stochastic Portfolio Theory (2002)Stochastic Portfolio TheoryStochastic Portfolio Theory (2002)Stochastic Portfolio TheoryMethods of Mathematical Finance (1998)Methods of Mathematical Finan…Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions (1987)Multidimensional Reflected Br…Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Brownian models of open queue…Stochastic Differential Equations (1972)Stochastic Differential Equat…Polynomial processes in stochastic portfolio theory (2018)Polynomial processes in stoch…Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio (2018)Cover's universal portfolio, …Triple and simultaneous collisions of competing Brownian particles (2015)Triple and simultaneous colli…Strong solutions of stochastic equations with rank-based coefficients (2012)Strong solutions of stochasti…Planar diffusions with rank-based characteristics and perturbed Tanaka equations (2012)Planar diffusions with rank-b…Large systems of diffusions interacting through their ranks (2012)Large systems of diffusions i…Convergence rates for rank-based models with applications to portfolio theory (2012)Convergence rates for rank-ba…A second-order stock market model (2012)A second-order stock market m…Hybrid Atlas models (2011)Hybrid Atlas modelsOn collisions of Brownian particles (2010)On collisions of Brownian par…On collisions of Brownian particles (2010)On collisions of Brownian par…Local times of ranked continuous semimartingales (2007)Local times of ranked continu…Relative arbitrage in volatility-stabilized markets (2005)Relative arbitrage in volatil…Dynamic Asset Pricing Theory. (1993)Stochastic Portfolio Theory: an Overview (2009)Deep Learning for Portfolio Optimization (2020)Reflected Brownian Motion on an Orthant (1981)Universal Portfolios (1991)Continuous Martingales and Brownian Motion (1999)Stability in a Model of Interbank Lending (2013)Networks of Waiting Lines (1957)Open, Closed, and Mixed Networks of Queues with Different Classes of Customers (1975)Brownian Motion and Stochastic Flow Systems. (1987)Planning Queueing Simulations (1989)Discrete Flow Networks: Bottleneck Analysis and Fluid Approximations (1991)Fluctuations of Lévy Processes with Applications (2014)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)On optimal arbitrage (2010)THE MEANING OF MARKET EFFICIENCY (2012)A Mathematical Theory of Financial Bubbles (2013)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Brownian models of multiclass queueing networks: Current status and open problems (1993)Queueing theory in manufacturing: A survey (1999)Rational Momentum Effects (2002)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)
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  • 1972Stochastic Differential Equations977 cited
  • 1987Brownian models of open queueing networks with homogeneous customer populations ∗312 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 1987Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions236 cited
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Cited by

  • 2011Hybrid Atlas models117 cited
  • 2005Relative arbitrage in volatility-stabilized markets113 cited
  • 2012Strong solutions of stochastic equations with rank-based coefficients63 cited
  • 2012Large systems of diffusions interacting through their ranks59 cited
  • 2007Local times of ranked continuous semimartingales52 cited
  • 2012Convergence rates for rank-based models with applications to portfolio theory52 cited
  • 2015Triple and simultaneous collisions of competing Brownian particles47 cited
  • 2010On collisions of Brownian particles

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45 cited
  • 2010On collisions of Brownian particles36 cited
  • 2018Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio32 cited
  • 2018Polynomial processes in stochastic portfolio theory31 cited
  • 2012Planar diffusions with rank-based characteristics and perturbed Tanaka equations29 cited
  • 2012A second-order stock market model28 cited