Testing stationarity of the detrended price return in stock markets (Q2668268): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(One intermediate revision by one other user not shown)
Property / DOI
 
Property / DOI: 10.1016/j.physa.2021.126487 / rank
Normal rank
 
Property / cites work
 
Property / cites work: Q5663204 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic geometric models with non-stationary spatial correlations in Lagrangian fluid flows / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-stationary stochastic modulation function definition based on process energy release / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quantum spatial-periodic harmonic model for daily price-limited stock markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on Wick products and the fractional Black-Scholes model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerically pricing American options under the generalized mixed fractional Brownian motion model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing geometric Asian power options under mixed fractional Brownian motion environment / rank
 
Normal rank
Property / cites work
 
Property / cites work: The pricing of credit default swaps under a generalized mixed fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3551324 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A theory of non‐Gaussian option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Derivative pricing with non-linear Fokker-Planck dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multifractal detrended fluctuation analysis of nonstationary time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mono- and multi-fractal investigation of scaling properties in temporal patterns of seismic sequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing with transaction costs and a nonlinear Black-Scholes equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Statistical Mechanics of Financial Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of Financial Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Drift in Transaction‐Level Asset Price Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4367302 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial modeling under non-Gaussian distributions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root / rank
 
Normal rank
Property / cites work
 
Property / cites work: Principal component analysis of \(1/f^{\alpha}\) noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Detecting long-range correlations with detrended fluctuation analysis / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.PHYSA.2021.126487 / rank
 
Normal rank

Latest revision as of 15:33, 19 December 2024

scientific article
Language Label Description Also known as
English
Testing stationarity of the detrended price return in stock markets
scientific article

    Statements

    Testing stationarity of the detrended price return in stock markets (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    3 March 2022
    0 references
    Fokker-Planck equation
    0 references
    stochastic diffusion equation
    0 references
    Hurst exponent
    0 references
    data analysis
    0 references
    0 references
    0 references
    0 references

    Identifiers