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The behavioral implications of the bilateral gamma process

文献类型：期刊论文

作者Xie, Haibin1; Wang, Shouyang2; Lu, Zudi3
刊名PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
出版日期2018-06-15
卷号500页码:259-264
关键词Bilateral gamma process Walrasian equilibrium Asset price Microstructure
ISSN号0378-4371
DOI10.1016/j.physa.2018.02.121
英文摘要Bilateral gamma process is widely used in risk management and asset pricing. However the behavioral implications of this process remain unknown. This paper investigates this problem for the first time within the framework of Tauchen and Pitts (1983). With the assumption that there are two types of traders in the market, the optimistic and the pessimistic, we find the bilateral gamma process can be derived from Walrasian equilibrium. This finding establishes the microstructure foundations for the bilateral gamma process. (C) 2018 Elsevier B.V. All rights reserved.
资助项目National Natural Science Foundation of China[71401033] ; MOE (Ministry of Education in China) Project of Humanities and Social Science[14YJCZH167] ; Program for Young Excellent Talents, UIBE[15YQ08]
WOS研究方向Physics
语种英语
WOS记录号WOS:000430027400024
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/30156]  
专题系统科学研究所
通讯作者Xie, Haibin
作者单位1.Univ Int Business & Econ, Huixin East Rd 10, Beijing 100029, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
3.Math Sci Univ Southampton, Southampton, Hants, England
推荐引用方式
GB/T 7714		 Xie, Haibin,Wang, Shouyang,Lu, Zudi. The behavioral implications of the bilateral gamma process[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2018,500:259-264.
APA Xie, Haibin,Wang, Shouyang,&Lu, Zudi.(2018).The behavioral implications of the bilateral gamma process.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,500,259-264.
MLA Xie, Haibin,et al."The behavioral implications of the bilateral gamma process".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 500(2018):259-264.

入库方式： OAI收割

来源：数学与系统科学研究院

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