Stochastic differential equations applied to the study of geophysical and financial time series

Maria C. Mariani and Osei K. Tweneboah

Physica A: Statistical Mechanics and its Applications, 2016, vol. 443, issue C, 170-178

Abstract: This work is devoted to the study of modeling geophysical and financial time series. We propose a stochastic differential equation arising from the superposition of independent Ornstein–Uhlenbeck processes driven by a Γ(a,b) process. Superposition of independent Γ(a,b) Ornstein–Uhlenbeck processes offers analytic flexibility and provides a class of continuous time processes capable of exhibiting long memory behavior. The stochastic differential equation is applied to geophysics and finance by fitting the superposed Γ(a,b) Ornstein–Uhlenbeck model to typical geophysical and financial time series.

Keywords: Stochastic differential equations; Ornstein–Uhlenbeck processes; Geophysical time series; Financial time series (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:443:y:2016:i:c:p:170-178

DOI: 10.1016/j.physa.2015.09.080

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