英文标题：
《Stochastic modelling of non-stationary financial assets》
---
作者：
Joana Estevens, Paulo Rocha, Joao Boto, Pedro Lind
---
最新提交年份：
2017
---
英文摘要：
We model non-stationary volume-price distributions with a log-normal distribution and collect the time series of its two parameters. The time series of the two parameters are shown to be stationary and Markov-like and consequently can be modelled with Langevin equations, which are derived directly from their series of values. Having the evolution equations of the log-normal parameters, we reconstruct the statistics of the first moments of volume-price distributions which fit well the empirical data. Finally, the proposed framework is general enough to study other non-stationary stochastic variables in other research fields, namely biology, medicine and geology.
---
中文摘要：
我们用对数正态分布对非平稳量价分布建模，并收集其两个参数的时间序列。这两个参数的时间序列被证明是平稳的和类马尔可夫的，因此可以用朗之万方程建模，朗之万方程直接从它们的值序列中导出。利用对数正态参数的演化方程，我们重建了与经验数据拟合良好的成交量-价格分布一阶矩的统计量。最后，所提出的框架具有足够的通用性，可以研究生物学、医学和地质学等其他研究领域中的其他非平稳随机变量。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
--

---
PDF下载：
-->