A Limit Theorem for Financial Markets with Inert Investors
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Cited by:
- Mine Caglar, 2011. "Stock Price Processes with Infinite Source Poisson Agents," Papers 1106.6300, arXiv.org.
- Erhan Bayraktar & H. Vincent Poor & K. Ronnie Sircar, 2004.
"Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(05), pages 615-643.
- Erhan Bayraktar & H. Vincent Poor & Ronnie Sircar, 2007. "Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis," Papers math/0703834, arXiv.org.
- Rama Cont & Adrien De Larrard, 2012. "Order book dynamics in liquid markets: limit theorems and diffusion approximations," Papers 1202.6412, arXiv.org.
- Christian Bender & Tommi Sottinen & Esko Valkeila, 2010. "Fractional processes as models in stochastic finance," Papers 1004.3106, arXiv.org.
- Rama Cont & Adrien de Larrard, 2011. "Order book dynamics in liquid markets: limit theorems and diffusion approximations," Working Papers hal-00672274, HAL.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
- Erhan Bayraktar & H. Vincent Poor, 2005. "Arbitrage In Fractal Modulated Black–Scholes Models When The Volatility Is Stochastic," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 283-300.
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