| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9727978 | Physica A: Statistical Mechanics and its Applications | 2005 | 30 Pages |
Abstract
We propose a random dynamical systems model for a stylized equity market. The model generalises previous deterministic models for price formation in equity markets. We provide analytic results (existence of fixed points, existence of invariant measures) as well as numerical results indicating the dynamical richness of this simple model. The model can be used to assess the effects of uncertainty on the fundamentals on stock price dynamics.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
S.J. Hatjispyros, A.N. Yannacopoulos,