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Microscopic reasoning for the non-linear stochastic models of long-range memory
microfoundations agent based models stochastic models fnancial markets long-range memory
2011/7/4
We extend Kirman's model by introducing variable event time scale. The proposed
exi-
ble time scale is equivalent to the variable trading activity observed in nancial markets.
Stochastic version ...
A long-range memory stochastic model of the return in financial markets
Models of financial markets Stochastic equations Power-law distributions Long memory processes
2010/10/29
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the ab-solute return in financial markets. Abs...