Back to Search
Start Over
Modeling high frequency stock market data by using stochastic models
- Source :
- Stochastic Analysis and Applications. 40:573-588
- Publication Year :
- 2021
- Publisher :
- Informa UK Limited, 2021.
-
Abstract
- The main task of this paper is to model the dependency and effects of the Lehman Brothers financial collapse event using a superposed and coupled Ornstein-Uhlenbeck type system of stochastic differ...
- Subjects :
- Statistics and Probability
Dependency (UML)
Stochastic modelling
Applied Mathematics
010102 general mathematics
Collapse (topology)
01 natural sciences
Lévy process
Task (project management)
010104 statistics & probability
Stochastic differential equation
Econometrics
Stock market
0101 mathematics
Statistics, Probability and Uncertainty
Mathematics
Event (probability theory)
Subjects
Details
- ISSN :
- 15329356 and 07362994
- Volume :
- 40
- Database :
- OpenAIRE
- Journal :
- Stochastic Analysis and Applications
- Accession number :
- edsair.doi...........13425554e09cdf896e009196e6bd0ea8