Concepedia

Jump Distributions

Jump Distributions is a probability distribution model that characterizes the behavior of stochastic processes with discontinuous state transitions by specifying the magnitude and frequency of abrupt changes, or "jumps," in the process trajectory.

161

Publications

9.2K

Citations

329

Authors

240

Institutions

Publications per year

2017–2026

35

Parents

Publications

161

Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

Suzanne S. Lee, Per A. Mykland · Review of Financial Studies · 2007 · 907 citations

, , +17

Conditional Jump Dynamics in Stock Market Returns

Wing Hong Chan, John M. Maheu · Journal of Business and Economic Statistics · 2002 · 363 citations

, , +17

First Order Transition for the Optimal Search Time of Lévy Flights with Resetting

Łukasz Kuśmierz, Satya N. Majumdar, Sanjib Sabhapandit et al. · Physical Review Letters · 2014 · 337 citations · Full text

, , +16

Jump Diffusion Option Valuation in Discrete Time

Kaushik I. Amin · The Journal of Finance · 1993 · 319 citations

, , +17

A Simplified Jump Process for Common Stock Returns

Clifford A. Ball, Walter N. Torous · Journal of Financial and Quantitative Analysis · 1983 · 285 citations

, , +17

1–5 of 161

Authors

329

  1. SN
    Satya N. Majumdar

    Centre National de la Recherche Scientifique, France

    9 publications · 584 citations

    9

    h-index

  2. GS
    Grégory Schehr

    Centre National de la Recherche Scientifique, France

    8 publications · 558 citations

    8

    h-index

  3. FB
    Floyd B. Hanson

    University of Illinois Chicago, United States

    3 publications · 71 citations

    3

    h-index

  4. RM
    Ralf Metzler

    University of Potsdam, Germany

    3 publications · 601 citations

    3

    h-index

  5. RB
    Ranjit Biswas

    S.N. Bose National Centre for Basic Sciences, India

    3 publications · 168 citations

    3

    h-index

1–5 of 329

Institutions

240

  1. Centre National de la Recherche Scientifique

    Paris, France

    15 h-index

    40 publications

    2K citations

  2. Laboratoire de Physique Théorique et Modèles Statistiques

    Orsay, France

    10 h-index

    21 publications

    1.2K citations

  3. Université Paris-Sud

    Orsay, France

    10 h-index

    20 publications

    1.2K citations

  4. Université Paris-Saclay

    Gif-sur-Yvette, France

    8 h-index

    19 publications

    444 citations

  5. Sorbonne Université

    Paris, France

    6 h-index

    9 publications

    671 citations

  6. Kharkiv Institute of Physics and Technology

    Kharkiv, Ukraine

    3 h-index

    5 publications

    685 citations

  7. Institut de Physique Théorique

    Gif-sur-Yvette, France

    3 h-index

    3 publications

    57 citations

  8. S.N. Bose National Centre for Basic Sciences

    Kolkata, India

    3 h-index

    9 publications

    504 citations

1–8 of 240

Venues

  1. Physical Review E

    PRE · 8 publications · 449 citations

    8

    h-index

  2. Journal of Applied Probability

    JAP · 6 publications · 205 citations

    6

    h-index

  3. Physical Review Letters

    PRL · 5 publications · 503 citations

    5

    h-index

  4. 5

    h-index

  5. 5

    h-index

1–5