A long-range memory stochastic model of the return in financial markets

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 1, 2010, Pages 100-106

  Gontis, V ^a   Ruseckas, J ^a   Kononovicius A ^a  

^a VILNIUS UNIVERSITY   (Lithuania)

Author keywords

Long memory processes; Models of financial markets; Power law distributions; Stochastic equations

Indexed keywords

COMMERCE; DIFFERENTIAL EQUATIONS; FINANCIAL MARKETS; NONLINEAR EQUATIONS; PROBABILITY DENSITY FUNCTION; SPECTRAL DENSITY; STATISTICAL MECHANICS; STOCHASTIC SYSTEMS; TIME SERIES;

LONG MEMORY PROCESS; MARKET VOLATILITY; NONEXTENSIVE STATISTICAL MECHANICS; POWER LAW DISTRIBUTION; PROBABILITY DENSITY FUNCTION (PDF); STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC EQUATIONS; STOCHASTIC VARIABLE;

STOCHASTIC MODELS;

EID: 70349451543     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.09.011     Document Type: Article

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