32 citations · 53 across the 9 of their papers we have counts for
11 papers
Fat tails arise endogenously in asset prices from supply/demand, with or without jump processes
Gunduz Caginalp
We show that the quotient of Levy processes of jump-diffusion type has a fat-tailed distribution. An application is to price theory in economics. We show that fat tails arise endog…
Probabilistic renormalization and analytic continuation
Gunduz Caginalp, Bogdan Ion
We introduce a theory of probabilistic renormalization for series, the renormalized values being encoded in the expectation of a certain random variable on the set of natural numbe…
Derivation of non-classical stochastic price dynamics equations
Carey Caginalp, Gunduz Caginalp
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has…
Nonlinear price dynamics of S&P 100 stocks
Gunduz Caginalp, Mark DeSantis
The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is appli…
Price equations with symmetric supply/demand; implications for fat tails
Carey Caginalp, Gunduz Caginalp
Implementing a set of microeconomic criteria, we develop price dynamics equations using a function of demand/supply with key symmetry properties. The function of demand/supply can…
A renormalization approach to the Riemann zeta function at -1, 1+2+3+... ~ -1/12
Gunduz Caginalp
A scaling and renormalization approach to the Riemann zeta function, , evaluated at is presented in two ways. In the first, one takes the difference between $U_{n}:=\sum_{q…