FINANCIAL TIME SERIES USING NONLINEAR DIFFERENTIAL EQUATION OF GAUSSIAN DISTRIBUTION PROBABILITY DENSITY

DOI10.1142/S0218348X22400849MaRDI QIDQ5070797zbMATH OpenOpenAlexWikidataFDO

Authors Pengbo Wan, Nawaf Alhebaishi, Qi Liu

Publication date 14 April 2022

Published in Fractals (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1142/s0218348x22400849

zbMATH Keywords

financial time series researchGaussian distributionGaussian processnonlinear

Mathematics Subject Classification ID

Stochastic processes (60Gxx) Parametric inference (62Fxx) Nonparametric inference (62Gxx)

Cites work

• An application of new method to obtain probability density function of solution of stochastic differential equations
• An user intention mining model based on fractal time series pattern
• Bayesian monotone regression using Gaussian process projection
• Deterministic chaos in pendulum systems with delay
• Efficient Gaussian process regression for large datasets
• Fractional interaction of financial agents in a stock market network
• GPflow: a Gaussian process library using TensorFlow
• Patchwork kriging for large-scale Gaussian process regression
• Posterior consistency for Gaussian process approximations of Bayesian posterior distributions

Cited in

(3)

• Non-Gaussian distribution for stock returns and related stochastic differential equation
• Fractal interpolation densities
• Distributed order hantavirus model and its nonstandard discretizations and stability analysis

Describes a project that uses

Uses Software

• GPflow

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