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Volumn 8, Issue 4, 2004, Pages

A stochastic version of Zeeman's market model

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EID: 14844283753     PISSN: 15583708     EISSN: 10811826     Source Type: Journal    
DOI: 10.2202/1558-3708.1111     Document Type: Article
Times cited : (8)

References (19)
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    • Chiarella, C., R. Died and L. Gardini (2001): "Asset price dynamics in a financial market with fundamentalists and chartists," Discrete Dynamics in Nature and Society, 6, 69-99.
    • (2001) Discrete Dynamics in Nature and Society , vol.6 , pp. 69-99
    • Chiarella, C.1    Died, R.2    Gardini, L.3
  • 6
    • 0003015955 scopus 로고    scopus 로고
    • Bifurcation of one-dimensional stochastic differential equations
    • H. Crauel and M. Gundlach, eds. New York: Springer
    • Crauel, H., P. Imkeller and M. Steinkamp (1999): "Bifurcation of one-dimensional stochastic differential equations," in H. Crauel and M. Gundlach, eds., Stochastic dynamics. New York: Springer, 27-47.
    • (1999) Stochastic Dynamics , pp. 27-47
    • Crauel, H.1    Imkeller, P.2    Steinkamp, M.3
  • 7
    • 84986777433 scopus 로고
    • A microeconomic approach to diffusion models for stock prices
    • Föllmer, H., and M. Schweizer (1993): " A microeconomic approach to diffusion models for stock prices," Mathematical Finance, 3, 1-23.
    • (1993) Mathematical Finance , vol.3 , pp. 1-23
    • Föllmer, H.1    Schweizer, M.2
  • 8
    • 0003936226 scopus 로고    scopus 로고
    • University of Vienna: SFB-WP No. 63 (Adaptive information systems and modelling in economics and management science)
    • Gaunersdorfer, A., and C. H. Hommes (2000): "A nonlinear structural model for volatility clustering," University of Vienna: SFB-WP No. 63 (Adaptive information systems and modelling in economics and management science).
    • (2000) A Nonlinear Structural Model for Volatility Clustering
    • Gaunersdorfer, A.1    Hommes, C.H.2
  • 12
    • 0000367265 scopus 로고
    • Weak limit theorems for stochastic integrals and stochastic differential equations
    • Kurtz, T. G., and P. Protter (1991): "Weak limit theorems for stochastic integrals and stochastic differential equations," Annals of Probability, 19, 1035-1070.
    • (1991) Annals of Probability , vol.19 , pp. 1035-1070
    • Kurtz, T.G.1    Protter, P.2
  • 15
    • 0001334431 scopus 로고    scopus 로고
    • Volatility clustering in financial markets: A micro-simulation of interacting agents
    • Lux, T., and M. Marchesi (2000): "Volatility clustering in financial markets: a micro-simulation of interacting agents," International Journal of Theoretical and Applied Finance, 3, 675-702.
    • (2000) International Journal of Theoretical and Applied Finance , vol.3 , pp. 675-702
    • Lux, T.1    Marchesi, M.2
  • 18
    • 0002627594 scopus 로고
    • On the unstable behavior of stock exchanges
    • Zeeman, E. C. (1974): "On the unstable behavior of stock exchanges," Journal of Mathematical Economics, 1, 39-49.
    • (1974) Journal of Mathematical Economics , vol.1 , pp. 39-49
    • Zeeman, E.C.1
  • 19
    • 0003138476 scopus 로고
    • Stability of dynamical systems
    • Zeeman, E. C. (1988): "Stability of dynamical systems," Nonlinearity, 1, 115-155.
    • (1988) Nonlinearity , vol.1 , pp. 115-155
    • Zeeman, E.C.1


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