Stationarity of the detrended price return in stock markets

22 Aug 2020 Arias-Calluari Karina Najafi Morteza. N. Harré Michael S. Alonso-Marroquin Fernando

This paper proposes a governing equation for stock market indexes that accounts for non-stationary effects. This is a linear Fokker-Planck equation (FPE) that describes the time evolution of the probability distribution function (PDF) of the price return... (read more)

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