157 citations
2 papers
q-fin.ST2013
A second-order stock market model
Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas
A first-order model for a stock market assigns to each stock a return parameter and a variance parameter that depend only on the rank of the stock. A second-order model assigns the…
math.PR2006★ 157 cited
Atlas models of equity markets
Adrian D. Banner, Robert Fernholz, Ioannis Karatzas
Atlas-type models are constant-parameter models of uncorrelated stocks for equity markets with a stable capital distribution, in which the growth rates and variances depend on rank…