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math.PR2024
Some Applications of Log-Ergodic Processes: Ergodic Trading Model and Call Option Pricing Using the Irrational Rotation
Kiarash Firouzi, Mohammad Jelodari Mamaghani
Due to the increasing popularity of futures trading among financial market participants, the risk management of these instruments is crucial. In this paper, we introduce a model fo…
math.PR2022
Log-ergodicity: A New Concept for Modeling Financial Markets
Kiarash Firouzi, Mohammad Jelodari Mamaghani
Although financial models violate ergodicity in general, observing the ergodic behavior in the markets is not rare. Policymakers and market participants control the market behavior…