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

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.

6 pages, 1 figure

References in corpus (4)

• Modeling scaled processes and 1/f^b noise by the nonlinear stochastic differential equations
• A long-range memory stochastic model of the return in financial markets
• Trading activity as driven Poisson process: comparison with empirical data
• On a generalised model for time-dependent variance with long-term memory