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2012 | 121 | 2B | B-24-B-27
Article title

Short Comprehensive Report on the Non-Brownian Stochastic Dynamics at Financial and Commodity Markets

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EN
Abstracts
EN
In this work we empirically verify the generic breaking of the Central Limit Theorem on the financial and commodity markets. We analysed the distributions of log-returns for typical indices and price of gold, for increasing time horizons. We considered Random Coarse Graining Transformation of the Continuous-Time Random Walk model, which can represent the non-Gaussian price dynamics of underlying assets and the corresponding derivatives, e.g., various options or future contracts. We confirmed that empirical data and predictions of the model quite well agree.
Keywords
Year
Volume
121
Issue
2B
Pages
B-24-B-27
Physical description
Dates
published
2012-02
References
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Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv121n2ba121z2bp04kz
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