Combustion Models in Finance
Physics and Society
2008-12-02 v1 General Physics
General Finance
Abstract
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.
Cite
@article{arxiv.physics/0101042,
title = {Combustion Models in Finance},
author = {C. Tannous and A. Fessant},
journal= {arXiv preprint arXiv:physics/0101042},
year = {2008}
}
Comments
6 pages, 8 figures, submitted to European Physical Journal on December 30 2000