Modeling the BUX index by a novel stochastic differential equation

DOI10.1016/S0378-4371(01)00306-5zbMath0974.91508WikidataQ58044863 ScholiaQ58044863MaRDI QIDQ5947890

Péter Alács, Imre M. Jánosi

Publication date: 23 October 2001

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

zbMATH Keywords

intermittent Wiener processLevy distributionnoise terms

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (1)

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Cites Work

• Exponential families of stochastic processes
• Introduction to Econophysics
• Stochastic differential equations. An introduction with applications.
• Stochastic volatility in financial markets. Crossing the bridge to continuous time

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