Variable diffusion in stock market fluctuations

DOI10.1016/j.physa.2014.10.024zbMath1402.91586OpenAlexW2066240780MaRDI QIDQ1783265

Liberty Falcon, Joseph L. McCauley, Gemunu H. Gunaratne, Lijian Chen, Jia-Chen Hua

Publication date: 20 September 2018

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

Full work available at URL: https://doi.org/10.1016/j.physa.2014.10.024

zbMATH Keywords

econophysicsstock marketsvariable diffusionorder book

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84)

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First-passage-time distribution for variable-diffusion processes, High-dimensional time series prediction using kernel-based koopman mode regression

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