JOINT ICTP/SISSA STATISTICAL PHYSICS SEMINAR: "Generating Functional Analysis of an Interacting Geometric Brownian Motion for Stock Market Dynamics"

[statphys]

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*JOINT ICTP/SISSA STATISTICAL PHYSICS SEMINAR
Tuesday, 21 April 2009   -    12:30 hrs
Seminar Room
ICTP Leonardo Building - 1st floor

Kartik ANAND
(ICTP, Trieste)

"Generating Functional Analysis of an
Interacting Geometric Brownian Motion
for Stock Market Dynamics "

Abstract

In this talk I will discuss a minimal interacting generalisation of the 
geometric Brownian motion model be formally equivalent to a model 
describing the dynamics of networks of analogue neurons. Using the 
Generating Functional formalism, I will show how one can solve for the 
steady state solutions in a non-trivial and interesting regime.

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