Matches in SemOpenAlex for { <https://semopenalex.org/work/W3204405876> ?p ?o ?g. }
- W3204405876 endingPage "126487" @default.
- W3204405876 startingPage "126487" @default.
- W3204405876 abstract "This paper proposes a generalized porous media equation with drift as the governing equation for stock market indexes. The proposed governing equation can be expressed as a Fokker–Planck equation (FPE) with a non-constant diffusion coefficient. The governing equation accounts for non-stationary effects and describes the time evolution of the probability distribution function (PDF) of the price return. By applying Ito’s Lemma, the FPE is associated with a stochastic differential equation (SDE) that models the time evolution of the price return in a fashion different from the classical Black–Scholes equation. Both FPE and SDE equations account for a deterministic part or trend and a stochastic part or q-Gaussian noise. The q-Gaussian noise can be decomposed into a Gaussian noise affected by a standard deviation or volatility. The presented model is validated using the S&P500 index’s data from the past 25 years per minute. We show that the price return becomes Gaussian, consequently stationary by normalizing the detrended data set. The normalization of the data is calculated by subtracting the trend and then dividing by the standard deviation of the detrended price return. The stationarity test consists of representing the power spectrum in terms of the time series’s autocorrelation. Additionally, this paper presents the multifractal analysis for the detrended and normalized price return to describe the Hurst exponent dynamics over the dataset." @default.
- W3204405876 created "2021-10-11" @default.
- W3204405876 creator A5001069613 @default.
- W3204405876 creator A5021019538 @default.
- W3204405876 creator A5050408679 @default.
- W3204405876 creator A5068641652 @default.
- W3204405876 creator A5082717067 @default.
- W3204405876 date "2022-02-01" @default.
- W3204405876 modified "2023-10-16" @default.
- W3204405876 title "Testing stationarity of the detrended price return in stock markets" @default.
- W3204405876 cites W1491723331 @default.
- W3204405876 cites W1566909986 @default.
- W3204405876 cites W1600114197 @default.
- W3204405876 cites W1968307896 @default.
- W3204405876 cites W1975994995 @default.
- W3204405876 cites W1993609416 @default.
- W3204405876 cites W2002286553 @default.
- W3204405876 cites W2009790801 @default.
- W3204405876 cites W2016045532 @default.
- W3204405876 cites W2017821362 @default.
- W3204405876 cites W2018509194 @default.
- W3204405876 cites W2025505566 @default.
- W3204405876 cites W2026623386 @default.
- W3204405876 cites W2036280280 @default.
- W3204405876 cites W2040394324 @default.
- W3204405876 cites W2044605773 @default.
- W3204405876 cites W2048869686 @default.
- W3204405876 cites W2050981156 @default.
- W3204405876 cites W2057116804 @default.
- W3204405876 cites W2057754767 @default.
- W3204405876 cites W2071430622 @default.
- W3204405876 cites W2071464880 @default.
- W3204405876 cites W2071602085 @default.
- W3204405876 cites W2072229627 @default.
- W3204405876 cites W2078342706 @default.
- W3204405876 cites W2085061534 @default.
- W3204405876 cites W2091555286 @default.
- W3204405876 cites W2093032997 @default.
- W3204405876 cites W2096575092 @default.
- W3204405876 cites W2101547937 @default.
- W3204405876 cites W2103484453 @default.
- W3204405876 cites W2114561744 @default.
- W3204405876 cites W2117201183 @default.
- W3204405876 cites W2136774414 @default.
- W3204405876 cites W2148614997 @default.
- W3204405876 cites W2149767168 @default.
- W3204405876 cites W2159091801 @default.
- W3204405876 cites W2161573452 @default.
- W3204405876 cites W2162435139 @default.
- W3204405876 cites W2169471158 @default.
- W3204405876 cites W2179633876 @default.
- W3204405876 cites W2280474718 @default.
- W3204405876 cites W2291769790 @default.
- W3204405876 cites W2525424566 @default.
- W3204405876 cites W2548975497 @default.
- W3204405876 cites W2594562288 @default.
- W3204405876 cites W2603775038 @default.
- W3204405876 cites W2782536318 @default.
- W3204405876 cites W2783822905 @default.
- W3204405876 cites W2786805060 @default.
- W3204405876 cites W2892266201 @default.
- W3204405876 cites W2920150917 @default.
- W3204405876 cites W2935426915 @default.
- W3204405876 cites W2998043344 @default.
- W3204405876 cites W3102192856 @default.
- W3204405876 cites W4241456557 @default.
- W3204405876 cites W658611389 @default.
- W3204405876 cites W951831975 @default.
- W3204405876 doi "https://doi.org/10.1016/j.physa.2021.126487" @default.
- W3204405876 hasPublicationYear "2022" @default.
- W3204405876 type Work @default.
- W3204405876 sameAs 3204405876 @default.
- W3204405876 citedByCount "5" @default.
- W3204405876 countsByYear W32044058762021 @default.
- W3204405876 countsByYear W32044058762022 @default.
- W3204405876 countsByYear W32044058762023 @default.
- W3204405876 crossrefType "journal-article" @default.
- W3204405876 hasAuthorship W3204405876A5001069613 @default.
- W3204405876 hasAuthorship W3204405876A5021019538 @default.
- W3204405876 hasAuthorship W3204405876A5050408679 @default.
- W3204405876 hasAuthorship W3204405876A5068641652 @default.
- W3204405876 hasAuthorship W3204405876A5082717067 @default.
- W3204405876 hasConcept C105795698 @default.
- W3204405876 hasConcept C121332964 @default.
- W3204405876 hasConcept C121864883 @default.
- W3204405876 hasConcept C149782125 @default.
- W3204405876 hasConcept C151730666 @default.
- W3204405876 hasConcept C163716315 @default.
- W3204405876 hasConcept C21689155 @default.
- W3204405876 hasConcept C2524010 @default.
- W3204405876 hasConcept C2780299701 @default.
- W3204405876 hasConcept C2780762169 @default.
- W3204405876 hasConcept C28826006 @default.
- W3204405876 hasConcept C33923547 @default.
- W3204405876 hasConcept C51955184 @default.
- W3204405876 hasConcept C5297727 @default.
- W3204405876 hasConcept C62520636 @default.
- W3204405876 hasConcept C86803240 @default.