Dynamics of observables in rank-based models and performance of functionally generated portfolios

10 Feb 2018 Monter Sergio A. Almada Shkolnikov Mykhaylo Zhang Jiacheng

In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment decisions, a concise mathematical description of their dynamics has been missing... (read more)

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  • PROBABILITY
  • MATHEMATICAL FINANCE