Simulation of sovereign CDS market based on interaction between market participant-Reference-Cited by-同舟云学术

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Simulation of sovereign CDS market based on interaction between market participant

Published:2017-08 Issue: Volume:479 Page:324-340
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Ko Bonggyun,Kim Kyungwon

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference44 articles.

1. Brownian Motion;Hida,1980

2. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

3. Empirical properties of asset returns: stylized facts and statistical issues;Cont;Quant. Finance,2001

4. On fitting the Pareto-Levy distribution to stock market index data: Selecting a suitable cutoff value;Coronel-Brizio;Physica A,2005

5. The behavior of stock-market prices;Fama;J. Bus.,1965

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Risk contagion in multilayer network of financial markets;Physica A: Statistical Mechanics and its Applications;2020-03

2. Multifractal analysis of financial markets: a review;Reports on Progress in Physics;2019-11-19

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