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
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
Journal title :
Physica A Statistical Mechanics and its Applications