The quotient of normal random variables and application to asset price fat tails
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DOI: 10.1016/j.physa.2018.02.077
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- Carey Caginalp & Gunduz Caginalp, 2018. "The Quotient of Normal Random Variables And Application to Asset Price Fat Tails," Papers 1802.04778, arXiv.org.
References listed on IDEAS
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Cited by:
- Caginalp, Carey & Caginalp, Gunduz, 2019.
"Price equations with symmetric supply/demand; implications for fat tails,"
Economics Letters, Elsevier, vol. 176(C), pages 79-82.
- Carey Caginalp & Gunduz Caginalp, 2019. "Price equations with symmetric supply/demand; implications for fat tails," Papers 1904.00267, arXiv.org.
- Caginalp, Carey & Caginalp, Gunduz, 2020. "Derivation of non-classical stochastic price dynamics equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
- Carey Caginalp & Gunduz Caginalp, 2019. "Derivation of non-classical stochastic price dynamics equations," Papers 1908.01103, arXiv.org, revised Aug 2020.
- Caginalp, Carey & Caginalp, Gunduz, 2019. "Stochastic asset price dynamics and volatility using a symmetric supply and demand price equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 807-824.
- Gunduz Caginalp, 2020. "Fat tails arise endogenously in asset prices from supply/demand, with or without jump processes," Papers 2011.08275, arXiv.org, revised Mar 2021.
- Carey Caginalp & Gunduz Caginalp, 2018. "Asset Price Volatility and Price Extrema," Papers 1802.04774, arXiv.org, revised Jul 2018.
- Cerqueti, Roy & Giacalone, Massimiliano & Panarello, Demetrio, 2019. "A Generalized Error Distribution Copula-based method for portfolios risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 687-695.
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Keywords
Quotient of normals; Heavy tails; Fat tails; Supply/demand; Tail of distribution; Leptokurtosis; Asset price change; Returns on stocks;All these keywords.
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