The class of nonlinear stochastic models as a background for the bursty behavior in financial markets
AbstractWe investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process with known first hitting (first passage) time statistics. Using these results we derive PDF of burst duration for the proposed model. We confirm analytical expressions by numerical evaluation and discuss bursty behavior of return in financial markets in the framework of modeling by nonlinear SDE.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1201.3083.
Date of creation: Jan 2012
Date of revision: May 2012
Publication status: Published in Advances in Complex Systems 15 (1), 2012, 1250071
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