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Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach

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  • L. L. B. Miranda

    (Federal Education Center for Technological Education of Minas Gerais)

  • L. S. Lima

    (Federal Education Center for Technological Education of Minas Gerais)

Abstract

The influence of non-linear terms and non-white noise terms on stochastic differential equation model for time evolution of prices of the market is investigated with aim to analyse the effect generated on exponent of the long-tail distribution of the probability density of the returns and Hurst index. In particular, whether the model proposed is adequate as a possible mathematical model for description of the market either if it satisfies to the stylized facts obeyed by the financial markets as the long-tail distribution of the returns, which must obey to the inverse cubic law observed.

Suggested Citation

  • L. L. B. Miranda & L. S. Lima, 2024. "Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2685-2694, November.
    • Handle: RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10516-x
    DOI: 10.1007/s10614-023-10516-x
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    Keywords

    Price dynamics; Stylized facts;

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