93 citations · 258 across the 10 of their papers we have counts for
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physics.data-an2005
Small scale behavior of financial data
Andreas P. Nawroth, Joachim Peinke
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is i…
physics.data-an2005
An Iterative Procedure for the Estimation of Drift and Diffusion Coefficients of Langevin Processes
D. Kleinhans, R. Friedrich, A. Nawroth +1
A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised…