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Statistical mechanics approach to the probability distribution of money
Statistical mechanics probability distribution of money
2010/10/21
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as r...
Probability distribution of returns in the exponential Ornstein-Uhlenbeck model
Probability distribution returns exponential Ornstein-Uhlenbeck model
2010/12/17
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility. In this model the...
On the probability distribution of stock returns in the Mike-Farmer model
probability distribution stock returns Mike-Farmer model
2010/12/20
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement...