Stochastic modelling of non-stationary financial assets.
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DOI: 10.1063/1.5010613
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… read more here.
Keywords: modelling non; financial assets; stationary financial; non stationary ... See more keywords