The behavioral implications of the bilateral gamma process

doi:10.1016/j.physa.2018.02.121

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	The behavioral implications of the bilateral gamma process
	Xie, Haibin 1; Wang, Shouyang2 ; Lu, Zudi 3
	2018-06-15
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN	0378-4371
卷号	500 页码:259-264
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.
关键词	Bilateral gamma process Walrasian equilibrium Asset price Microstructure
DOI	10.1016/j.physa.2018.02.121
语种	英语
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
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000430027400024
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/30157
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.