Title of article
A random dynamical system model of a stylized equity market
Author/Authors
S.J. Hatjispyros، نويسنده , , A.N. Yannacopoulos، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
30
From page
583
To page
612
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.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2005
Journal title
Physica A Statistical Mechanics and its Applications
Record number
869944
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