31 citations · 76 across the 4 of their papers we have counts for
4 papers
Exact corrections for finite-time drift and diffusion coefficients
C. Anteneodo, R. Riera
Real data are constrained to finite sampling rates, which calls for a suitable mathematical description of the corrections to the finite-time estimations of the dynamic equations.…
The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
L. Gazola, C. Fernandes, A. Pizzinga +1
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric app…
From short to fat tails in financial markets: A unified description
A. A. G. Cortines, R. Riera, C. Anteneodo
In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for…
Additive-multiplicative stochastic models of financial mean-reverting processes
C. Anteneodo, R. Riera
We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property,…