Time averaging, ageing and delay analysis of financial time series

DOI10.1088/1367-2630/aa7199zbMath1516.91042OpenAlexW2613993003MaRDI QIDQ6098635

Erez Aghion, Unnamed Author, Ralf Metzler, Andrey G. Cherstvy, Aleksei V. Chechkin

Publication date: 14 June 2023

Published in: New Journal of Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1367-2630/aa7199

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (5)

Ornstein-Uhlenbeck process with fluctuating damping ⋮ Stochastic effects in mean-field population growth: the quasi-Gaussian approximation to the case of a Taylor's law-distributed substrate ⋮ Modeling volatility of disaster-affected populations: a non-homogeneous geometric-skew Brownian motion approach ⋮ Advanced strategies of portfolio management in the Heston market model ⋮ Option pricing under the subordinated market models

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