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  • Search: subject:"constrained stochastic motion"
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Subject
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Börsenkurs 2 COVID-19 2 Coronavirus 2 Schock 2 Securities trading 2 Share price 2 Shock 2 Stochastic process 2 Stochastischer Prozess 2 Theorie 2 Theory 2 Wertpapierhandel 2 constrained stochastic motion 2 financial risk 2 market distress 2 predatory trading 2 quasi-bounded process 2 short squeeze 2
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Online availability
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Free 2 CC license 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Hui, Cho H. 2 Liu, Chi-Hei 2 Lo, Chi-Fai 2
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HKIMR working paper 1 Risks : open access journal 1
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ECONIS (ZBW) 2
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Equity price dynamics under shocks : in distress or short squeeze
Hui, Cho H.; Lo, Chi-Fai; Liu, Chi-Hei - 2024
Persistent link: https://www.econbiz.de/10014500997
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Cover Image
Equity price dynamics under shocks : in distress or short squeeze
Hui, Cho H.; Lo, Chi-Fai; Liu, Chi-Hei - In: Risks : open access journal 12 (2024) 1, pp. 1-19
This paper proposes a simple bounded stochastic motion to model equity price dynamics under shocks. The stochastic process has a quasi-bounded boundary which can be breached if the probability leakage condition is met. The quasi-boundedness of the process at the boundary can thus provide an...
Persistent link: https://www.econbiz.de/10014480888
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