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The Power Law Characteristics of Stock Price Jump Intervals: An Empirical and Computational Experimental Study
For the first time, the power law characteristics of stock price jump intervals have been empirically found generally in stock markets. The classical jump-diffusion model is described as the jump-diffusion model with power law (JDMPL). An artificial stock market (ASM) is designed in which an agent’s...
| Autores principales: | , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2018
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512821/ https://www.ncbi.nlm.nih.gov/pubmed/33265395 http://dx.doi.org/10.3390/e20040304 |