Stochastic Multiplicative Processes for Financial Markets


We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with correlated step sizes obeying truncated Lévy-like distribution, and the cross-correlation between relative updated wealths… (More)


5 Figures and Tables

Slides referencing similar topics