Relaxation processes in administered-rate pricing

Authors
Hawkins, RJ Arnold, MR
Citation
Rj. Hawkins et Mr. Arnold, Relaxation processes in administered-rate pricing, PHYS REV E, 62(4), 2000, pp. 4730-4736
Citations number
21
Categorie Soggetti
Physics
Journal title
PHYSICAL REVIEW E
ISSN journal
1063651X → ACNP
Volume
62
Issue
4
Year of publication
2000
Part
A
Pages
4730 - 4736
Database
ISI
SICI code
1063-651X(200010)62:4<4730:RPIAP>2.0.ZU;2-L
Abstract
We show how the theory of anelasticity unifies the observed dynamics and pr oposed models of administered-rate products. This theory yields a straightf orward approach to rate model construction that we illustrate by simulating the observed relaxation dynamics of two administered rate products. We als o demonstrate how the use of this formalism leads to a natural definition o f market friction.