REVIEW 1 cited by
Log-ergodicity: A New Concept for Modeling Financial Markets
Not yet reviewed by Pith; the record is open.
This paper has not been read by Pith yet. Machine review is queued; the pith claim, tier, and objections will appear here once it completes.
SPECIMEN: schema-true, not a live event
T0 review · schema-true
One-sentence machine reading of the paper's core claim.
pith:XXXXXXXX · record.json · timestamp
read the original abstract
Although financial models violate ergodicity in general, observing the ergodic behavior in the markets is not rare. Policymakers and market participants control the market behavior in critical and emergency states, which leads to some degree of ergodicity as their actions are intentional. In this paper, we define a parametric operator that acts on the space of positive stochastic processes, transforming a class of positive stochastic processes into mean-ergodic processes. With this mechanism, we extract the data regarding the ergodic behavior hidden in the financial model, apply it to mathematical finance, and establish a novel method for pricing contingent claims. We provide some empirical examples and compare the results with existing ones to demonstrate the efficacy of this new approach.
Forward citations
Cited by 1 Pith paper
-
Log-Ergodic Dynamics in Stochastic Monetary Velocity: Theoretical Insights and Economic Implications
The paper argues that U.S. money velocity is partially ergodic and that a fitted log-ergodic model forecasts it with lower RMSE and MAE than a constant-velocity baseline.
Discussion (0). Continue with ORCID to comment.