Combustion Models in Finance

C. Tannous and A. Fessant

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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.

Date: 2001-01
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