English

Variable order porous media equations: Application on modeling the S&P500 and Bitcoin price return

Statistical Mechanics 2023-09-11 v1

Abstract

This article reveals a specific category of solutions for the 1+11+1 Variable Order (VO) nonlinear fractional Fokker-Planck equations. These solutions are formulated using VO qq-Gaussian functions, granting them significant versatility in their application to various real-world systems, such as financial economy areas spanning from conventional stock markets to cryptocurrencies. The VO qq-Gaussian functions provide a more robust expression for the distribution function of price returns in real-world systems. Additionally, we analyzed the temporal evolution of the anomalous characteristic exponents derived from our study, which are associated with the long-range memory in time series data and autocorrelation patterns.

Keywords

Cite

@article{arxiv.2309.04206,
  title  = {Variable order porous media equations: Application on modeling the S&P500 and Bitcoin price return},
  author = {Yaoyue Tang and Fatemeh Gharari and Karina Arias-Calluari and Fernando Alonso-Marroquin and M. N. Najafi},
  journal= {arXiv preprint arXiv:2309.04206},
  year   = {2023}
}

Comments

15 Pages, 3 Figures. Submitted to Physical Review E