Nonlinear Phenomena in Complex Systems, 2007, Vol.10, No.3, pp.256-263

NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2007, Vol.10, No.3, pp.256-263

Towards a Time-Continuous Ma(1) Model: Application to Stock Index Returns.
T. D. Frank

A time-continuous version of the standard time-discrete MA(1) model is proposed. First- and second-order statistical properties of the processes defined by the proposed model are derived. In addition, the model is used to describe returns of the S&P 500 stock index.
Key words: statistical modelling, financial physics

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