Search Results - subject:"Langevin-type equation"

Hitting time distributions in financial markets

Valenti, Davide; Spagnolo, Bernardo; Bonanno, Giovanni - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 311-320

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the...

Persistent link: https://www.econbiz.de/10010873723

Dynamic numerical models of stock market price: from microscopic determinism to macroscopic randomness

Sato, Aki-Hiro; Takayasu, Hideki - In: Physica A: Statistical Mechanics and its Applications 250 (1998) 1, pp. 231-252

stochastic fluctuations. The statistical properties of market price change can be well approximated by a simple discrete Langevin-type … equation with random amplification. The macroscopic stochastic equation is solved both numerically and analytically showing …

Persistent link: https://www.econbiz.de/10010599432