The class of nonlinear stochastic models as a background for the bursty behavior in financial markets
We 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.
|Date of creation:||Jan 2012|
|Date of revision:||May 2012|
|Publication status:||Published in Advances in Complex Systems 15 (1), 2012, 1250071|
|Contact details of provider:|| Web page: http://arxiv.org/|
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- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008.
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