Estimating stable fixed points and Langevin potentials for financial dynamics

Wand; Tobias;, Wiedemann; Timo;, Harren; Jan;, Kamps; Oliver

Estimating stable fixed points and Langevin potentials for financial dynamics

Wand, Tobias; Wiedemann, Timo; Harren, Jan; Kamps, Oliver

Abstract

Keywords

SDE; Polynomial Drift; Stable Price

Cite as

Wand, T., Wiedemann, T., Harren, J., & Kamps, O. (2024). Estimating stable fixed points and Langevin potentials for financial dynamics. Physical Review E (PRE), 109(2).

Details

Publication type

Research article (journal)

Peer reviewed

Yes

Publication status

Published

Year

2024

Journal

Physical Review E

Volume

109

Issue

2

ISSN

2470-0045

DOI

https://doi.org/10.1103/PhysRevE.109.024226