Stochastic modelling of non-stationary financial assets

Autor: Estevens, Joana, Rocha, Paulo, Boto, Joao, Lind, Pedro

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 wit

Externí odkaz: http://arxiv.org/abs/1705.01145

Optimal models of extreme volume-prices are time-dependent

Autor: Rocha, Paulo, Raischel, Frank, Boto, João Pedro, Lind, Pedro G.

We present evidence that the best model for empirical volume-price distributions is not always the same and it strongly depends in (i) the region of the volume-price spectrum that one wants to model and (ii) the period in time that is being modelled.

Externí odkaz: http://arxiv.org/abs/1409.6257

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Scattering for a wave equation with different spatial asymptotics on the left and right

Autor: Boto, João Pedro

Publikováno v: Mathematical Methods in the Applied Sciences; December 1999, Vol. 22 Issue: 18 p1621-1646, 26p

Stochastic modelling of non-stationary financial assets.

Autor: Estevens J; Departamento de Matemática and Centro de Matemática e Aplicações Fundamentais, Faculdade de Ciências, University of Lisbon, Campo Grande, 1749-016 Lisboa, Portugal., Rocha P; Departamento de Matemática and Centro de Matemática e Aplicações Fundamentais, Faculdade de Ciências, University of Lisbon, Campo Grande, 1749-016 Lisboa, Portugal., Boto JP; Departamento de Matemática and Centro de Matemática e Aplicações Fundamentais, Faculdade de Ciências, University of Lisbon, Campo Grande, 1749-016 Lisboa, Portugal., Lind PG; Institut für Physik, Universität Osnabrück, Barbarastrasse 7, 49076 Osnabrück, Germany.

Publikováno v: Chaos (Woodbury, N.Y.) [Chaos] 2017 Nov; Vol. 27 (11), pp. 113106.