Stochastic modelling of non-stationary financial assets

被引:2
作者
Estevens, Joana [1 ,2 ]
Rocha, Paulo [1 ,2 ]
Boto, Joao P. [1 ,2 ]
Lind, Pedro G. [3 ]
机构
[1] Univ Lisbon, Fac Ciencias, Dept Matemat, P-1749016 Lisbon, Portugal
[2] Univ Lisbon, Ctr Matemat & Aplicacoes Fundamentais, P-1749016 Lisbon, Portugal
[3] Univ Osnabruck, Inst Phys, Barbarastr 7, D-49076 Osnabruck, Germany
关键词
D O I
10.1063/1.5010613
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
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.
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页数:10
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