کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
978148 | 1645121 | 2007 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A dynamical stochastic coupled model for financial markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
A model coupling a deterministic dynamical system which represents trading, with a stochastic one that represents asset prices evolution is presented. Both parts of the model have connections with well established dynamic models in mathematical economics and finance. The main objective is to represent the double feedback between trading dynamics (the demand/supply interaction) and price dynamics (assumed as largely random). We present the model, and address to some extent existence and uniqueness, continuity with respect to initial conditions and stability of solutions. The non-Lipschitz case is briefly considered as well.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 381, 15 July 2007, Pages 317–328
Journal: Physica A: Statistical Mechanics and its Applications - Volume 381, 15 July 2007, Pages 317–328
نویسندگان
T.E. Govindan, Carlos Ibarra-Valdez, J. Ruiz de Chávez,