Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach

L. L. B. Miranda and L. S. Lima ()
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L. L. B. Miranda: Federal Education Center for Technological Education of Minas Gerais
L. S. Lima: Federal Education Center for Technological Education of Minas Gerais

Computational Economics, 2024, vol. 64, issue 5, No 5, 2685-2694

Abstract: Abstract The influence of non-linear terms and non-white noise terms on stochastic differential equation model for time evolution of prices of the market is investigated with aim to analyse the effect generated on exponent of the long-tail distribution of the probability density of the returns and Hurst index. In particular, whether the model proposed is adequate as a possible mathematical model for description of the market either if it satisfies to the stylized facts obeyed by the financial markets as the long-tail distribution of the returns, which must obey to the inverse cubic law observed.

Keywords: Price dynamics; Stylized facts (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10614-023-10516-x

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