Microfoundations for diffusion price processes

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Cite
Pakkanen, Mikko S. “Microfoundations for Diffusion Price Processes”. Mathematics and Financial Economics, vol. 3, no. 2, 2010, pp. 89-114, https://doi.org/10.1007/s11579-010-0029-7.
Pakkanen, M. S. (2010). Microfoundations for diffusion price processes. Mathematics and Financial Economics, 3(2), 89-114. https://doi.org/10.1007/s11579-010-0029-7
Pakkanen MS. Microfoundations for diffusion price processes. Mathematics and Financial Economics. 2010;3(2):89-114.
Journal Categories
Science
Mathematics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
Social Sciences
Statistics
Refrences
Title Journal Journal Categories Citations Publication Date
10.1017/S1365100507070010 Macroeconomic Dynamics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Economic theory. Demography: Economics as a science
 2008
10.2298/PIM0694171J 2006
The predictive power of zero intelligence in financial markets

 Proceedings of the National Academy of Sciences
  • Science: Science (General)
 205 2005
Financial price fluctuations in a stock market model with many interacting agents Economic Theory
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Economic theory. Demography: Economics as a science
 36 2005
Price Manipulation and Quasi-Arbitrage Econometrica
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 225 2004
Citations
Title Journal Journal Categories Citations Publication Date
Broken detailed balance and non-equilibrium dynamics in noisy social learning models Physica A: Statistical Mechanics and its Applications
  • Science: Physics
  • Science: Physics
 1 2021
From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes Physica A: Statistical Mechanics and its Applications
  • Science: Physics
  • Science: Physics
 3 2017
Interplay between Endogenous and Exogenous Fluctuations in Financial Markets Acta Physica Polonica A
  • Science: Physics
  • Science: Physics
  • Science: Physics
 2016
Black-Scholes in a CEV Random Environment: A New Approach to Smile Modelling SSRN Electronic Journal 3 2015
On the Stochastic Properties of Carbon Futures Prices Environmental and Resource Economics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Geography. Anthropology. Recreation: Environmental sciences
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 17 2013
Citations Analysis
Category Category Repetition
Science: Physics4
Social Sciences: Economic theory. Demography: Economics as a science1
Geography. Anthropology. Recreation: Environmental sciences1
Social Sciences: Commerce: Business1
The category Science: Physics 4 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Asset Pricing in the Presence of Social Interaction and was published in 2010. The most recent citation comes from a 2021 study titled Broken detailed balance and non-equilibrium dynamics in noisy social learning models. This article reached its peak citation in 2013, with 2 citations. It has been cited in 4 different journals, 25% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 4 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year