Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges

JDySES, vol. 2, no. 1, 2011 We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.

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Bibliographic Details
Main Authors Gontis, V, Kononovicius, A
Format Journal Article
LanguageEnglish
Published 28.03.2010
Subjects
Quantitative Finance - Statistical Finance
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Summary:JDySES, vol. 2, no. 1, 2011 We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.
DOI:10.48550/arxiv.1003.5356