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math.PR2017★ 1 cited
Stratonovich representation of semimartingale rank processes
Robert Fernholz
Suppose that are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by ge…
math.PR2009★ 118 cited
Hybrid Atlas models
Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner +2
We study Atlas-type models of equity markets with local characteristics that depend on both name and rank, and in ways that induce a stable capital distribution. Ergodic properties…
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…