Matches in SemOpenAlex for { <https://semopenalex.org/work/W2238963960> ?p ?o ?g. }
Showing items 1 to 78 of
78
with 100 items per page.
- W2238963960 abstract "In this thesis we study the evolution of non-stationary with the aim of extracting the stochastic equations describing it from sets of empirical data. We apply our framework to the New York Stock market (NYSM). We test four different bi-parametric models to fit the correspondent volume-price distributions at each 10-minute lag. Using the relatives deviations and by introducing a new variant of Kullback-Leibler divergence we present quantitative evidence that the best model for empirical volumeprice distributions is not always the same and it strongly depends in (i) the region of the volume-price spectrum that one wants to model and (ii) the period in time that is being modelled. We then focus in the inverse Gamma distribution which shows to be the best model for describing the tail of the empirical distributions and analyse the evolution of its parameters as a stochastic process. Namely, we assume that the evolution of the inverse Gamma parameters is governed by Langevin equation and derive the corresponding drift and diffusion coefficients. These coefficients provide insight for understanding the mechanisms underlying the evolution of the stock market, and bound the risk associated with such distributions. The first chapter poses the problem and scope of the thesis. In the second chapter we introduce the theory necessary to understand the concepts addressed in the following chapters. In Chapter 3 we present the methodology used for processing the NYSM data. In the fourth chapter we discuss which model is the best one to describe the volume-price distribution. In the fifth chapter we present a stochastic model to describe the evolution of the distribution tails. Discussions and conclusions closes the thesis, where we describe how the framework proposed in this thesis can be extended to non-stationary probability density functions as a general mathematical problem." @default.
- W2238963960 created "2016-06-24" @default.
- W2238963960 creator A5064081061 @default.
- W2238963960 date "2014-01-01" @default.
- W2238963960 modified "2023-09-23" @default.
- W2238963960 title "Stochastic evolution of parameters defining probability density functions: application to the New York stock market" @default.
- W2238963960 cites W1503295912 @default.
- W2238963960 cites W1965555277 @default.
- W2238963960 cites W1970724640 @default.
- W2238963960 cites W1989430166 @default.
- W2238963960 cites W2055547520 @default.
- W2238963960 cites W2076209196 @default.
- W2238963960 cites W2077791698 @default.
- W2238963960 cites W2090353374 @default.
- W2238963960 cites W2114849571 @default.
- W2238963960 cites W2120010582 @default.
- W2238963960 cites W2143351549 @default.
- W2238963960 cites W2799664482 @default.
- W2238963960 cites W3105820873 @default.
- W2238963960 hasPublicationYear "2014" @default.
- W2238963960 type Work @default.
- W2238963960 sameAs 2238963960 @default.
- W2238963960 citedByCount "0" @default.
- W2238963960 crossrefType "dissertation" @default.
- W2238963960 hasAuthorship W2238963960A5064081061 @default.
- W2238963960 hasConcept C105795698 @default.
- W2238963960 hasConcept C121332964 @default.
- W2238963960 hasConcept C121864883 @default.
- W2238963960 hasConcept C127491075 @default.
- W2238963960 hasConcept C149441793 @default.
- W2238963960 hasConcept C149782125 @default.
- W2238963960 hasConcept C166957645 @default.
- W2238963960 hasConcept C205649164 @default.
- W2238963960 hasConcept C2779343474 @default.
- W2238963960 hasConcept C2780299701 @default.
- W2238963960 hasConcept C28826006 @default.
- W2238963960 hasConcept C33923547 @default.
- W2238963960 hasConcept C8272713 @default.
- W2238963960 hasConceptScore W2238963960C105795698 @default.
- W2238963960 hasConceptScore W2238963960C121332964 @default.
- W2238963960 hasConceptScore W2238963960C121864883 @default.
- W2238963960 hasConceptScore W2238963960C127491075 @default.
- W2238963960 hasConceptScore W2238963960C149441793 @default.
- W2238963960 hasConceptScore W2238963960C149782125 @default.
- W2238963960 hasConceptScore W2238963960C166957645 @default.
- W2238963960 hasConceptScore W2238963960C205649164 @default.
- W2238963960 hasConceptScore W2238963960C2779343474 @default.
- W2238963960 hasConceptScore W2238963960C2780299701 @default.
- W2238963960 hasConceptScore W2238963960C28826006 @default.
- W2238963960 hasConceptScore W2238963960C33923547 @default.
- W2238963960 hasConceptScore W2238963960C8272713 @default.
- W2238963960 hasLocation W22389639601 @default.
- W2238963960 hasOpenAccess W2238963960 @default.
- W2238963960 hasPrimaryLocation W22389639601 @default.
- W2238963960 hasRelatedWork W1480839917 @default.
- W2238963960 hasRelatedWork W1502945218 @default.
- W2238963960 hasRelatedWork W1760651867 @default.
- W2238963960 hasRelatedWork W1774883591 @default.
- W2238963960 hasRelatedWork W2176469401 @default.
- W2238963960 hasRelatedWork W2399858392 @default.
- W2238963960 hasRelatedWork W2501745436 @default.
- W2238963960 hasRelatedWork W2510082327 @default.
- W2238963960 hasRelatedWork W2611455094 @default.
- W2238963960 hasRelatedWork W2799281321 @default.
- W2238963960 hasRelatedWork W2800587992 @default.
- W2238963960 hasRelatedWork W2888941777 @default.
- W2238963960 hasRelatedWork W2933371091 @default.
- W2238963960 hasRelatedWork W2952140876 @default.
- W2238963960 hasRelatedWork W2957219483 @default.
- W2238963960 hasRelatedWork W3092255988 @default.
- W2238963960 hasRelatedWork W3105415524 @default.
- W2238963960 hasRelatedWork W3122075465 @default.
- W2238963960 hasRelatedWork W3124305007 @default.
- W2238963960 hasRelatedWork W3125071128 @default.
- W2238963960 isParatext "false" @default.
- W2238963960 isRetracted "false" @default.
- W2238963960 magId "2238963960" @default.
- W2238963960 workType "dissertation" @default.