Stochastic modelling of non-stationary financial assets

DOI10.1063/1.5010613zbMath1458.62239arXiv1705.01145OpenAlexW2575814780WikidataQ47383615 ScholiaQ47383615MaRDI QIDQ4563873

Joana Estevens, João Pedro Boto, Paulo H. Rocha, Pedro G. Lind

Publication date: 4 June 2018

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.01145

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• The Fokker-Planck equation. Methods of solution and applications
• Critical market crashes
• Statistical Distributions
• Statistical Tools for Finance and Insurance
• Bridging stylized facts in finance and data non-stationarities

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