Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis - In: Annals of Finance 9 (2013) 3, pp. 439-454
A first-order model for a stock market assigns to each stock a return parameter and a variance parameter that depend only on the rank of the stock. A second-order model assigns these parameters based on both the rank and the name of the stock. First- and second-order models exhibit stability...
