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

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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.

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Acknowledgements

This work was partially supported by National Council for Scientific and Technological Development (CNPq) Brazil.

Funding

The funding number is National Council for Scientific and Technological Development (CNPq) Nº 2449726168487062

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  1. Department of Physics, Federal Education Center for Technological Education of Minas Gerais, Belo Horizonte, MG, 30510-000, Brazil

    L. L. B. Miranda & L. S. Lima

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  1. L. L. B. Miranda
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Miranda, L.L.B., Lima, L.S. Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach. Comput Econ (2024). https://doi.org/10.1007/s10614-023-10516-x

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