7 citations · 27 across the 6 of their papers we have counts for
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q-fin.MF2017★ 7 cited
Distributions of Historic Market Data - Stock Returns
Zhiyuan Liu, M. Dashti Moghaddam, R. A. Serota
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-…
cond-mat.stat-mech2017★ 3 cited
On absence of steady state in the Bouchaud-Mézard network model
Zhiyuan Liu, R. A. Serota
In the limit of infinite number of nodes (agents), the Itô-reduced Bouchaud-Mézard network model of economic exchange has a time-independent mean and a steady-state inverse gamma d…