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Fluctuations of stock price model by statistical physics systems · Study

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ArticleFluctuations of stock price model by statistical physics systems

Jun Wang2009

OA

Articlebronze2009

Fluctuations of stock price model by statistical physics systems

Jun Wang · Qiuyuan Wang · Jiguang Shao

59 citations·0/0 files stored·Mathematical and Computer Modelling

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Complex Systems and Time Series Analysis Stochastic processes and financial applications Stochastic processes and statistical mechanics

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References

1973The Pricing of Options and Corporate Liabilities 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2011Introduction to Stochastic Calculus Applied to Finance 2010Threshold bipower variation and the impact of jumps on volatility forecasting 2004Disentangling diffusion from jumps 1998Crossover in the Cont–Bouchaud percolation model for market fluctuations 2008Threshold Estimation of Jump-Diffusion Models and Interest Rate Modeling

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Year2009

Typearticle

Published2009-12-12

VenueMathematical and Computer Modelling

ISSN-L0895-7177

Languageen

Citations59

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.mcm.2009.12.003

openalex_workW2061336862

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