50 citations · 119 across the 12 of their papers we have counts for
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q-fin.ST2009★ 31 cited
Universal Behavior of Extreme Price Movements in Stock Markets
Miguel A. Fuentes, Austin Gerig, Javier Vicente
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of…
q-fin.ST2009★ 50 cited
Model for Non-Gaussian Intraday Stock Returns
Austin Gerig, Javier Vicente, Miguel A. Fuentes
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape a…