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

DOI10.1016/j.physa.2015.09.080zbMath1400.60107OpenAlexW2178412283WikidataQ125964951 ScholiaQ125964951MaRDI QIDQ1618960

Osei K. Tweneboah, Maria Christina Mariani

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.09.080

zbMATH Keywords

stochastic differential equationsfinancial time seriesOrnstein-Uhlenbeck processesgeophysical time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Geostatistics (86A32) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work

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• Natural exponential families and self-decomposability
• Ornstein-Uhlenbeck processes for geophysical data analysis
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Detecting market crashes by analysing long-memory effects using high-frequency data
• CRASHES AS CRITICAL POINTS

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