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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APA
Mendes, R. V. (2016). From market data to agent-based models and stochastic differential equations. In Springer Proceedings in Mathematics and Statistics (Vol. 162, pp. 225–242). Springer New York LLC. https://doi.org/10.1007/978-3-319-32144-8_11
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