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Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets
Fat-tailed distributions have been reported in fluctuations of financial markets for more than a decade. Sliding interval techniques used in these studies implicitly assume that the underlying stochastic process has stationary increments. Through an analysis of intraday increments, we explicitly sho...
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| Päätekijät: | , , |
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| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
National Academy of Sciences
2007
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| Aiheet: | |
| Linkit: | https://ncbi.nlm.nih.gov/pmc/articles/PMC2077248/ https://ncbi.nlm.nih.gov/pubmed/17956981 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1073/pnas.0708664104 |
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