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From Market Data to Agent-Based Models and Stochastic Differential Equations

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From Particle Systems to Partial Differential Equations III

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 162))

Abstract

A survey of results from 2008 to 2014 on the construction of a stochastic market model, from the empirical data to its modelling interpretation and proof of mathematical consistency (no-arbitrage and completeness).

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Author information

Authors and Affiliations

  1. Centro de Matemática e Aplicações Fundamentais, University of Lisbon, Lisbon, Portugal

    R. Vilela Mendes

Authors
  1. R. Vilela Mendes
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Correspondence to R. Vilela Mendes .

Editor information

Editors and Affiliations

  1. University of Minho Department of Mathematics, Braga, Portugal

    Patrícia Gonçalves

  2. University of Minho Department of Mathematics, Braga, Portugal

    Ana Jacinta Soares

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Mendes, R.V. (2016). From Market Data to Agent-Based Models and Stochastic Differential Equations. In: Gonçalves, P., Soares, A. (eds) From Particle Systems to Partial Differential Equations III. Springer Proceedings in Mathematics & Statistics, vol 162. Springer, Cham. https://doi.org/10.1007/978-3-319-32144-8_11

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