Time-independent models of asset returns revisited-Reference-Cited by-同舟云学术

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Time-independent models of asset returns revisited

Published:2000-07 Issue:1-2 Volume:282 Page:304-324
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:

Gillemot L.,Töyli J.,Kertesz J.,Kaski K.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference27 articles.

1. Theorie de la Speculation;Bachelier,1900

2. Brownian motion in the stock market;Osborne;Oper. Res.,1959

3. The variation of certain speculative prices;Mandelbrot;J. Bus.,1959

4. The behaviour of stock market prices;Fama;J. Bus.,1965

5. A comparison of stable and student distributions as statistical models for stock prices;Blattberg;J. Bus.,1974

Cited by 10 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. Student’s t mixture models for stock indices. A comparative study;Physica A: Statistical Mechanics and its Applications;2021-10

2. PRICE LINKAGES AMONG EMERGING GOLD FUTURES MARKETS;The Singapore Economic Review;2018-12

3. Models for stock returns;Quantitative Finance;2012-03

4. Asset returns and volatility clustering in financial time series;Physica A: Statistical Mechanics and its Applications;2011-04

5. Tick size and stock returns;Physica A: Statistical Mechanics and its Applications;2009-02

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