• 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