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Constrained random walk models for euro/Swiss franc exchange rates : theory and empirics
Lera, Sandro Claudio; Sornette, Didier - 2015
We study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 and January 15, 2015 when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. Within the general framework built on geometric Brownian motions...
Persistent link: https://www.econbiz.de/10011411948
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Five years of continuous-time random walks in econophysics
Scalas, Enrico - In: The complex networks of economic interactions : essays …, (pp. 3-16). 2005
Persistent link: https://www.econbiz.de/10003253864
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How close is a fractional process to a random walk with drift?
Larsson, Rolf - In: Journal of time series econometrics 7 (2015) 2, pp. 217-234
Persistent link: https://www.econbiz.de/10011291296
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Fractals and scaling in finance : discontinuity, concentration, risk
Mandelbrot, Benoît B. - 1997
Persistent link: https://www.econbiz.de/10000635535
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Examples of FCLT in random environment
Liptser, R. - In: Optimality and risk - modern trends in mathematical …, (pp. 183-196). 2009
Persistent link: https://www.econbiz.de/10003948852
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Modelling financial time series
Taylor, Stephen - 2007 - 2. edition
Persistent link: https://www.econbiz.de/10003553502
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Distributional deviations in random number generation in finance
Chavez, Sergio; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857127
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The stress-dependent random walk
Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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Opracowanie metody badania wpływu zdarze´n ekstremalnych i superekstremalnych na stochastyczną dynamikę szeregów czasowych
Gubiec, Tomasz; Kutner, Ryszard; Werner, Tomasz - 2011
Persistent link: https://www.econbiz.de/10009419700
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Forecasting interest rates with shifting
Dijk, Dick van; Koopman, Siem Jan; Wel, Michel van der; … - 2012
Persistent link: https://www.econbiz.de/10009723022