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Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges

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  • V. Gontis
  • A. Kononovicius

Abstract

We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.

Suggested Citation

  • V. Gontis & A. Kononovicius, 2010. "Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges," Papers 1003.5356, arXiv.org.
  • Handle: RePEc:arx:papers:1003.5356
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    References listed on IDEAS

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    1. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2003. "A theory of power-law distributions in financial market fluctuations," Nature, Nature, vol. 423(6937), pages 267-270, May.
    2. V. Plerou & P. Gopikrishnan & X. Gabaix & L. A. N. Amaral & H. E. Stanley, 2001. "Price fluctuations, market activity and trading volume," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 262-269.
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