| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7374558 | Physica A: Statistical Mechanics and its Applications | 2018 | 8 Pages |
Abstract
A stochastic model with multiplicative noise has been proposed as a mathematical model for the prices dynamics of the financial market. We have presented a model which allows us to test within the same framework the comparative explanatory power of rational agents versus irrational agents with respect to facts of the financial market. We calculate the long range memory of the model and studied the behavior of the long tail distribution of the cumulative distribution of probabilities for the model with additive and multiplicative noise.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Leonardo S. Lima, Greicy K.C. Santos,