Stochastic modelling of non-stationary financial assets

Joana Estevens, Paulo Rocha, Joao Boto and Pedro Lind

Papers from arXiv.org

Abstract: 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 with Langevin equations, which are derived directly from their series of values. Having the evolution equations of the log-normal parameters, we reconstruct the statistics of the first moments of volume-price distributions which fit well the empirical data. Finally, the proposed framework is general enough to study other non-stationary stochastic variables in other research fields, namely biology, medicine and geology.

Date: 2017-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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