Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Regina C.B. da Fonseca"'
Publikováno v:
Communications in Nonlinear Science and Numerical Simulation. 104:106023
Previously, some of us put forward the Levy sections theorem revisited as an extension of the classical central limit theorem that provides an alternative view of data volatilities (Figueiredo et al., 2007a, 2007b). In this paper, we discuss its usef
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 559:125035
We suggest a solution to the problem of truncation of truncated Levy flights by deductively finding a power law between the truncation length and its standard deviation. We offer a generalization where the pdf of returns is left unknown, and its dist
Publikováno v:
Physics Letters A. 379:2154-2168
Since Gaussianity and stationarity assumptions cannot be fulfilled by financial data, the time-homogeneous Ornstein–Uhlenbeck ( THOU ) process was introduced as a candidate model to describe time series of financial returns [1] . It is an Ornstein
Publikováno v:
Physics Letters A. 377:1571-1581
We investigate which type of diffusion equation is most appropriate to describe the time evolution of foreign exchange rates. We modify the geometric diffusion model assuming a non-exponential time evolution and the stochastic term is the sum of a Wi
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 392(7):1671-1680
We generalize the Ornstein–Uhlenbeck (OU) process using Doob’s theorem. We relax the Gaussian and stationary conditions, assuming a linear and time-homogeneous process. The proposed generalization retains much of the simplicity of the original st