Diffusion equations and the time evolution of foreign exchange rates

DOI10.1016/J.PHYSLETA.2013.04.050zbMath1317.91070OpenAlexW2058984798MaRDI QIDQ2354796

Annibal Figueiredo, Regina Da Fonseca, Iram M. Gléria, Marcio T. De Castro

Publication date: 27 July 2015

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2013.04.050

zbMATH Keywords

diffusion equationmultiscalingKramers-Moyal

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Fokker-Planck equations (35Q84)

Related Items (1)

Using the Lévy sections to reduce risks in the buying strategies and asset sales that value in time

Cites Work

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• Jump diffusion models and the evolution of financial prices
• Alternative models for stock price dynamics.
• The origin of fat-tailed distributions in financial time series
• Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Financial Modelling with Jump Processes
• Introduction to Econophysics
• Brownian motion in a field of force and the diffusion model of chemical reactions

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