2007, Vol.10, No.3, pp.256-263
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
Full text: Acrobat PDF (255KB)
Copyright © Nonlinear Phenomena in Complex Systems. Last updated: October 8, 2007