The price-volatility feedback rate: an implementable mathematical indicator of market stability

Barucci, Emilio; Malliavin, Paul; Mancino, Maria Elvira; Renò, Roberto; Thalmaier, Anton

doi:10.1111/1467-9965.t01-1-00003

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Article (Scientific journals)

The price-volatility feedback rate: an implementable mathematical indicator of market stability

Barucci, Emilio; Malliavin, Paul; Mancino, Maria Elvira et al.

2003 • In Math. Finance, 13 (1), p. 17-35

Peer reviewed

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https://hdl.handle.net/10993/13836

DOI
10.1111/1467-9965.t01-1-00003

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Disciplines :

Mathematics

Author, co-author :

Barucci, Emilio; Università di Pisa > Dipartimento di Statistica e Matematica Applicata all'Economia

Malliavin, Paul; Académie des Sciences > Institut de France

Mancino, Maria Elvira; Università di Firenze > DIMAD

Renò, Roberto; Università di Siena > Dipartimento di Economia Politica

Thalmaier, Anton ; University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit

Language :

English

Title :

The price-volatility feedback rate: an implementable mathematical indicator of market stability

Publication date :

2003

Journal title :

Math. Finance

ISSN :

0960-1627

Volume :

Issue :

Pages :

17-35

Peer reviewed :

Peer reviewed

Additional URL :

http://dx.doi.org/10.1111/1467-9965.t01-1-00003

Commentary :

Conference on Applications of Malliavin Calculus in Finance (Rocquencourt, 2001) 1968094 (2004d:91099)

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since 27 December 2013

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