Stochastic modelling of non-stationary financial assets
Statistical Finance
2017-05-04 v1 Data Analysis, Statistics and Probability
Abstract
We model non-stationary volume-price distributions with a log-normal distribution and collect the time series of its two parameters. The time series of the two parameters are shown to be stationary and Markov-like and consequently can be modelled with Langevin equations, which are derived directly from their series of values. Having the evolution equations of the log-normal parameters, we reconstruct the statistics of the first moments of volume-price distributions which fit well the empirical data. Finally, the proposed framework is general enough to study other non-stationary stochastic variables in other research fields, namely biology, medicine and geology.
Keywords
Cite
@article{arxiv.1705.01145,
title = {Stochastic modelling of non-stationary financial assets},
author = {Joana Estevens and Paulo Rocha and Joao Boto and Pedro Lind},
journal= {arXiv preprint arXiv:1705.01145},
year = {2017}
}