Exact corrections for finite-time drift and diffusion coefficients (2009)
Real data are constrained to finite sampling rates, which calls for a suitable mathematical description of the corrections to the finite-time estimations of the dynamic equations. Often in the...
The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
L. Gazola, C. Fernandes, A. Pizzinga, R. Riera
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to...
Non-extensive Behavior of a Stock Market Index at Microscopic Time Scales
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics....
Additive-multiplicative stochastic models of financial mean-reverting processes
We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is...
From short to fat tails in financial markets: A unified description
In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified...