The Mean Field Market Model Revisited
Fuente:
arXiv
Guardado en:
| Autores principales: | Hasenbichler, Manuel, Müller, Wolfgang, Thonhauser, Stefan |
|---|---|
| Formato: | Preprint |
| Publicado: |
2023
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
Ejemplares similares
Continuous time analysis of fleeting discrete price moves
por: Shephard, Neil, et al.
Publicado: (2014)
por: Shephard, Neil, et al.
Publicado: (2014)
A theory of passive market impact
por: Chahdi, Youssef Ouazzani, et al.
Publicado: (2024)
por: Chahdi, Youssef Ouazzani, et al.
Publicado: (2024)
A unified theory of order flow, market impact, and volatility
por: Muhle-Karbe, Johannes, et al.
Publicado: (2026)
por: Muhle-Karbe, Johannes, et al.
Publicado: (2026)
The Support and Resistance Line Method: An Analysis via Optimal Stopping
por: Henderson, Vicky, et al.
Publicado: (2021)
por: Henderson, Vicky, et al.
Publicado: (2021)
Optimal Liquidation with Signals: the General Propagator Case
por: Jaber, Eduardo Abi, et al.
Publicado: (2022)
por: Jaber, Eduardo Abi, et al.
Publicado: (2022)
Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making
por: Feys, Frank M. V.
Publicado: (2026)
por: Feys, Frank M. V.
Publicado: (2026)
Criteria for the absence of arbitrage in general diffusion markets
por: Criens, David, et al.
Publicado: (2023)
por: Criens, David, et al.
Publicado: (2023)
Non-unique time and market incompleteness
por: Angstmann, Chris, et al.
Publicado: (2026)
por: Angstmann, Chris, et al.
Publicado: (2026)
Optimal Portfolio Choice with Cross-Impact Propagators
por: Jaber, Eduardo Abi, et al.
Publicado: (2024)
por: Jaber, Eduardo Abi, et al.
Publicado: (2024)
Fredholm Approach to Nonlinear Propagator Models
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)
Realized Local Volatility Surface
por: Ma, Yuming, et al.
Publicado: (2025)
por: Ma, Yuming, et al.
Publicado: (2025)
Dynamics of Periodic Bubbles and Crashes: Modeling Market Overheating and Panic Selling via Cubic Momentum
por: Yoshida, Naohiro
Publicado: (2026)
por: Yoshida, Naohiro
Publicado: (2026)
Hedging in Jump Diffusion Model with Transaction Costs
por: Almani, Hamidreza Maleki, et al.
Publicado: (2024)
por: Almani, Hamidreza Maleki, et al.
Publicado: (2024)
On the short-time behaviour of up-and-in barrier options using Malliavin calculus
por: Burés, Òscar
Publicado: (2025)
por: Burés, Òscar
Publicado: (2025)
On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
por: Xodarev, Akmal
Publicado: (2026)
por: Xodarev, Akmal
Publicado: (2026)
No arbitrage and the existence of ACLMMs in general diffusion models
por: Criens, David, et al.
Publicado: (2024)
por: Criens, David, et al.
Publicado: (2024)
Separating Times for One-Dimensional General Diffusions
por: Criens, David, et al.
Publicado: (2022)
por: Criens, David, et al.
Publicado: (2022)
Reinforcement Learning for Speculative Trading under Exploratory Framework
por: Zhao, Yun, et al.
Publicado: (2026)
por: Zhao, Yun, et al.
Publicado: (2026)
Pricing and hedging for a sticky diffusion
por: Anagnostakis, Alexis
Publicado: (2023)
por: Anagnostakis, Alexis
Publicado: (2023)
The Omniscient, yet Lazy, Investor
por: Halkiewicz, Stanisław M. S.
Publicado: (2025)
por: Halkiewicz, Stanisław M. S.
Publicado: (2025)
Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
por: Alòs, Elisa, et al.
Publicado: (2025)
por: Alòs, Elisa, et al.
Publicado: (2025)
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
por: Das, Kaustav, et al.
Publicado: (2021)
por: Das, Kaustav, et al.
Publicado: (2021)
Short-rate models with stochastic discontinuities: a PDE approach
por: Calvia, Alessandro, et al.
Publicado: (2025)
por: Calvia, Alessandro, et al.
Publicado: (2025)
A Deterministic Limit Order Book Simulator with Hawkes-Driven Order Flow
por: Karmi, Sohaib El
Publicado: (2025)
por: Karmi, Sohaib El
Publicado: (2025)
A New Approach for the Continuous Time Kyle-Back Strategic Insider Equilibrium Problem
por: Qiao, Bixing, et al.
Publicado: (2025)
por: Qiao, Bixing, et al.
Publicado: (2025)
Universal basic income in a financial equilibrium
por: Weston, Kim
Publicado: (2026)
por: Weston, Kim
Publicado: (2026)
Extended State-dependent Hawkes Process for Limit Order Books: Mathematical Foundation and the Reproduction of Volatility Signature Plots
por: Kimura, Akitoshi
Publicado: (2026)
por: Kimura, Akitoshi
Publicado: (2026)
Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows
por: Lokin, Felix, et al.
Publicado: (2024)
por: Lokin, Felix, et al.
Publicado: (2024)
Mean field equilibrium asset pricing model with habit formation
por: Fujii, Masaaki, et al.
Publicado: (2024)
por: Fujii, Masaaki, et al.
Publicado: (2024)
The fundamental theorem of asset pricing with and without transaction costs
por: Kühn, Christoph
Publicado: (2023)
por: Kühn, Christoph
Publicado: (2023)
Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
por: Hu, Ying, et al.
Publicado: (2017)
por: Hu, Ying, et al.
Publicado: (2017)
Liquidity provision of utility indifference type in decentralized exchanges
por: Fukasawa, Masaaki, et al.
Publicado: (2025)
por: Fukasawa, Masaaki, et al.
Publicado: (2025)
Unwinding Stochastic Order Flow: When to Warehouse Trades
por: Nutz, Marcel, et al.
Publicado: (2023)
por: Nutz, Marcel, et al.
Publicado: (2023)
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
por: Gnabeyeu, Emmanuel, et al.
Publicado: (2025)
por: Gnabeyeu, Emmanuel, et al.
Publicado: (2025)
Mean-field equilibrium price formation with exponential utility
por: Fujii, Masaaki, et al.
Publicado: (2023)
por: Fujii, Masaaki, et al.
Publicado: (2023)
Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
por: Alòs, Elisa, et al.
Publicado: (2025)
por: Alòs, Elisa, et al.
Publicado: (2025)
A Stochastic Thermodynamics Approach to Price Impact and Round-Trip Arbitrage: Theory and Empirical Implications
por: Jha, Amit Kumar
Publicado: (2025)
por: Jha, Amit Kumar
Publicado: (2025)
Exponential stock models driven by tempered stable processes
por: Küchler, Uwe, et al.
Publicado: (2019)
por: Küchler, Uwe, et al.
Publicado: (2019)
Option pricing in bilateral Gamma stock models
por: Küchler, Uwe, et al.
Publicado: (2019)
por: Küchler, Uwe, et al.
Publicado: (2019)
Bilateral Gamma distributions and processes in financial mathematics
por: Küchler, Uwe, et al.
Publicado: (2019)
por: Küchler, Uwe, et al.
Publicado: (2019)
Ejemplares similares
-
Continuous time analysis of fleeting discrete price moves
por: Shephard, Neil, et al.
Publicado: (2014) -
A theory of passive market impact
por: Chahdi, Youssef Ouazzani, et al.
Publicado: (2024) -
A unified theory of order flow, market impact, and volatility
por: Muhle-Karbe, Johannes, et al.
Publicado: (2026) -
The Support and Resistance Line Method: An Analysis via Optimal Stopping
por: Henderson, Vicky, et al.
Publicado: (2021) -
Optimal Liquidation with Signals: the General Propagator Case
por: Jaber, Eduardo Abi, et al.
Publicado: (2022)