Stochastic modelling of non-stationary financial assets

Autor(en): Estevens, Joana
Rocha, Paulo
Boto, Joao P.
Lind, Pedro G.
Stichwörter: Mathematics; Mathematics, Applied; Physics; Physics, Mathematical
Erscheinungsdatum: 2017
Herausgeber: AMER INST PHYSICS
Journal: CHAOS
Volumen: 27
Ausgabe: 11
Zusammenfassung: 
We model non-stationary volume-price distributions with a log-normal distribution and collect the time series of its two parameters. The time series of the two parameters are shown to be stationary and Markov-like and consequently can be modelled with Langevin equations, which are derived directly from their series of values. Having the evolution equations of the log-normal parameters, we reconstruct the statistics of the first moments of volume-price distributions which fit well the empirical data. Finally, the proposed framework is general enough to study other non-stationary stochastic variables in other research fields, namely, biology, medicine, and geology. Published by AIP Publishing.
ISSN: 10541500
DOI: 10.1063/1.5010613

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