Mastroeni, Loretta; Vellucci, Pierluigi - In: Risks : open access journal 10 (2022) 11, pp. 1-21
This paper introduces a model for intraday copper futures prices based on a stochastic differential equation (SDE). In … characterizing linear time-variant systems. This method is applied to construct a model able to simulate the trajectories of copper … copper futures prices is rather weak. In fact, the developed model produces trajectories close to the actual data only in the …