2 papers
math.PR2018
Large Rank-Based Models with Common Noise
Praveen Kolli, Andrey Sarantsev
For large systems of Brownian particles interacting through their ranks introduced in (Banner, Fernholz, Karatzas, 2005), the empirical cumulative distribution function satisfies a…
math.PR2016
A Note on Jump Atlas Models
Clayton Barnes, Andrey Sarantsev
The market weight of a stock is its capitalization (cap) divided by the total market cap. Rank these weights from top to bottom. The capital distribution curve is a plot of weights…