Gontis, V.; Ruseckas, J.; Kononovičius, A. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 1, pp. 100-106
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in financial markets. Absolute return as a measure of market volatility is considered in the proposed model as a...