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The behavioral implications of the bilateral gamma process
Xie, Haibin1; Wang, Shouyang2; Lu, Zudi3
2018-06-15
Source PublicationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN0378-4371
Volume500Pages:259-264
AbstractBilateral 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.
KeywordBilateral gamma process Walrasian equilibrium Asset price Microstructure
DOI10.1016/j.physa.2018.02.121
Language英语
Funding ProjectNational 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 Research AreaPhysics
WOS SubjectPhysics, Multidisciplinary
WOS IDWOS:000430027400024
PublisherELSEVIER SCIENCE BV
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/30157
Collection系统科学研究所
Affiliation1.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
Recommended Citation
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.
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