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Local times of ranked continuous semimartingales

Citations

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Cited by:

  1. Ioannis Karatzas & Johannes Ruf, 2017. "Trading strategies generated by Lyapunov functions," Finance and Stochastics, Springer, vol. 21(3), pages 753-787, July.
  2. Karatzas, Ioannis & Ruf, Johannes, 2017. "Trading strategies generated by Lyapunov functions," LSE Research Online Documents on Economics 69177, London School of Economics and Political Science, LSE Library.
  3. Kardaras, Constantinos & Robertson, Scott, 2021. "Ergodic robust maximization of asymptotic growth," LSE Research Online Documents on Economics 121039, London School of Economics and Political Science, LSE Library.
  4. David Itkin & Martin Larsson, 2021. "On A Class Of Rank-Based Continuous Semimartingales," Papers 2104.04396, arXiv.org.
  5. Ioannis Karatzas & Soumik Pal & Mykhaylo Shkolnikov, 2012. "Systems of Brownian particles with asymmetric collisions," Papers 1210.0259, arXiv.org.
  6. Donghan Kim, 2022. "Local Times for Continuous Paths of Arbitrary Regularity," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2540-2568, December.
  7. Christa Cuchiero & Janka Moller, 2023. "Signature Methods in Stochastic Portfolio Theory," Papers 2310.02322, arXiv.org, revised Mar 2024.
  8. Johannes Ruf & Kangjianan Xie, 2018. "Generalised Lyapunov Functions and Functionally Generated Trading Strategies," Papers 1801.07817, arXiv.org.
  9. Andrey Sarantsev, 2019. "Comparison Techniques for Competing Brownian Particles," Journal of Theoretical Probability, Springer, vol. 32(2), pages 545-585, June.
  10. Ricardo T. Fernholz & Robert Fernholz, 2022. "Permutation-weighted portfolios and the efficiency of commodity futures markets," Annals of Finance, Springer, vol. 18(1), pages 81-108, March.
  11. Tomoyuki Ichiba & Vassilios Papathanakos & Adrian Banner & Ioannis Karatzas & Robert Fernholz, 2009. "Hybrid Atlas models," Papers 0909.0065, arXiv.org, revised Apr 2011.
  12. Donghan Kim, 2022. "Market-to-book Ratio in Stochastic Portfolio Theory," Papers 2206.03742, arXiv.org.
  13. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-Weighted Portfolios with Negative Parameter," Papers 1504.01026, arXiv.org, revised Jul 2015.
  14. Zhen-Qing Chen & Xinwei Feng, 2021. "Reflected Backward Stochastic Differential Equation with Rank-Based Data," Journal of Theoretical Probability, Springer, vol. 34(3), pages 1213-1247, September.
  15. Andrey Sarantsev, 2017. "Reflected Brownian Motion in a Convex Polyhedral Cone: Tail Estimates for the Stationary Distribution," Journal of Theoretical Probability, Springer, vol. 30(3), pages 1200-1223, September.
  16. Constantinos Kardaras & Scott Robertson, 2018. "Ergodic robust maximization of asymptotic growth," Papers 1801.06425, arXiv.org.
  17. David Itkin & Martin Larsson, 2021. "Open Markets and Hybrid Jacobi Processes," Papers 2110.14046, arXiv.org, revised Mar 2024.
  18. Kangjianan Xie, 2020. "Leakage of rank-dependent functionally generated trading strategies," Annals of Finance, Springer, vol. 16(4), pages 573-591, December.
  19. Ricardo T. Fernholz & Robert Fernholz, 2017. "Zipf's Law for Atlas Models," Papers 1707.04285, arXiv.org, revised Jun 2020.
  20. Donghan Kim, 2019. "Open Markets," Papers 1912.13110, arXiv.org.
  21. Donghan Kim, 2023. "Market-to-book ratio in stochastic portfolio theory," Finance and Stochastics, Springer, vol. 27(2), pages 401-434, April.
  22. Robert Fernholz, 2017. "Stratonovich representation of semimartingale rank processes," Papers 1705.00336, arXiv.org.
  23. Kangjianan Xie, 2019. "Leakage of rank-dependent functionally generated trading strategies," Papers 1912.04221, arXiv.org.
  24. Ioannis Karatzas & Johannes Ruf, 2016. "Trading Strategies Generated by Lyapunov Functions," Papers 1603.08245, arXiv.org.
  25. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.
  26. Ricardo T. Fernholz & Robert Fernholz, 2020. "Permutation-Weighted Portfolios and the Efficiency of Commodity Futures Markets," Papers 2001.06914, arXiv.org, revised Dec 2020.
  27. Ruf, Johannes & Xie, Kangjianan, 2019. "Generalised Lyapunov functions and functionally generated trading strategies," LSE Research Online Documents on Economics 102424, London School of Economics and Political Science, LSE Library.
  28. Ioannis Karatzas & Donghan Kim, 2021. "Open markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1111-1161, October.
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