Combustion Models in Finance
Abstract
Description
Combustion reaction kinetics models are used for the description of a special class of bursty Financial Time Series. The small number of parameters they depend upon enable financial analysts to predict the time as well as the magnitude of the jump of the value of the portfolio. Several Financial Time Series are analysed within this framework and applications are given.
6 pages, 8 figures, submitted to European Physical Journal on December 30 2000
6 pages, 8 figures, submitted to European Physical Journal on December 30 2000