Non-ideal Brownian motion, generalized Langevin Equation and its application to the security market-Reference-Cited by-同舟云学术

Non-ideal Brownian motion, generalized Langevin Equation and its application to the security market

Published:1996-07 Issue:2 Volume:3 Page:87-119
ISSN:1380-2011
Container-title:Financial Engineering and the Japanese Markets
language:en
Short-container-title:Financial Engineering and the Japanese Markets

Author:

Takahashi Masafumi

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Economics, Econometrics and Finance

Link

http://link.springer.com/content/pdf/10.1007/BF00868082.pdf

Reference48 articles.

1. Alder, B.J. and Wainwright, T.E. (1967), ?Velocity Autocorrelations for Hard Spheres?,Physical Review Letters,18, 989?999.

2. Bollerslev, T., Chow, R.Y., Jarayaman, N. and Kroner, K.F. (1990), ?ARCH Modelling in Finance: A Selective Review of the Theory and Empirical Evidence?, Working Paper.

3. International Series in Pure and Applied Mathematics;L.V. Ahlfors,1966

4. Case, M.A. (1971), ?Velocity Fluctuation of a Body in a Fluid?,The Physics of Fluids,14(10), 2091?2095.

5. Cole, C.S. and Reichenstein, W. (1994), ?Forecasting Interest Rates with Eurodollar Futures Rates?,Journal of Futures Market,10(1), 37?50.

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