%0 Journal Article
%T A second-order stock market model
%A Robert Fernholz
%A Tomoyuki Ichiba
%A Ioannis Karatzas
%J Quantitative Finance
%D 2013
%I arXiv
%X A first-order model for a stock market assigns to each stock a return parameter and a variance parameter that depend only on the rank of the stock. A second-order model assigns these parameters based on both the rank and the name of the stock. First- and second-order models exhibit stability properties that make them appropriate as a backdrop for the analysis of the idiosyncratic behavior of individual stocks. Methods for the estimation of the parameters of second-order models are developed in this paper.
%U http://arxiv.org/abs/1302.3870v1