Superstatistics with cut-off tails for financial time series

DOI10.1016/j.physa.2019.04.166OpenAlexW2890565279WikidataQ128083952 ScholiaQ128083952MaRDI QIDQ2160075

Takanori Kadoya, Yusuke Uchiyama

Publication date: 2 August 2022

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

Full work available at URL: https://arxiv.org/abs/1809.04775

zbMATH Keywords

option pricingfinancial time seriesstochastic volatility modelsuperstatisticsBrownian yet non-Gaussian diffusion

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• Superstatistics
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• On Generalized Gamma Functions Occurring in Diffraction Theory^*

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