8 citations · 10 across the 3 of their papers we have counts for
3 papers
q-fin.ST2017
Stochastic modelling of non-stationary financial assets
Joana Estevens, Paulo Rocha, Joao Boto +1
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…
q-fin.ST2015★ 8 cited
Uncovering the evolution of non-stationary stochastic variables: the example of asset volume-price fluctuations
Paulo Rocha, Frank Raischel, João P. Boto +1
We present a framework for describing the evolution of stochastic observables having a non-stationary distribution of values. The framework is applied to empirical volume-prices fr…
q-fin.ST2014★ 2 cited
Optimal models of extreme volume-prices are time-dependent
Paulo Rocha, Frank Raischel, João Pedro Boto +1
We present evidence that the best model for empirical volume-price distributions is not always the same and it strongly depends in (i) the region of the volume-price spectrum that…