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May 9, 2026Risks0 citationsOpen Access

ORAKULUM: Information-Impact Asset Pricing Model with Jump-Diffusion Framework

ORAKULUM: An Information-Impact Asset Pricing Model Introducing a Jump-Diffusion Framework for Information-Driven Markets

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Authors

ZKZoltán KöntösRRRuszlan Megdetovics Rahimkulov

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Overview

Randomized trial reveals a new asset pricing model in financial markets, highlighting the role of information.

Key Points

  • The aim is to introduce ORAKULUM, a new asset pricing model that incorporates information impacts on price dynamics.
  • Developed a jump-diffusion model combining Wiener and Poisson components for price dynamics.
  • Employed Monte Carlo simulations and calibrated the model using historical market data.
  • Applied the model to XAU/USD and EUR/USD price data from Yahoo Finance.
  • Demonstrated the model's capability to predict market responses to central bank communications and geopolitical events.
  • Showed the log-price dynamics can be decomposed into permanent and transient components using the new framework.
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Cite This Study

Köntös et al. (2026) studied this question.

synapsesocial.com/papers/69fed0abb9154b0b82877ba4https://doi.org/10.3390/risks14050108
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Also Consider

Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context:

  1. 1Entropic Dynamics of Jump-Diffusion Option Pricing2026
  2. 2Introducing a new approach for modeling stock market prices using the combination of jump-drift processes2024
  3. 3Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets2025
  4. 4Modelling Asset Price Dynamics with Investor Inertia: Diffusion with Advection and Fourth-Order Extension2025
  5. 5Information Arrival as a Stochastic Clock for Intraday Trading2026