2 research outputs found
Variable order porous media equations: Application on modeling the S&P500 and Bitcoin price return
This article reveals a specific category of solutions for the Variable
Order (VO) nonlinear fractional Fokker-Planck equations. These solutions are
formulated using VO -Gaussian functions, granting them significant
versatility in their application to various real-world systems, such as
financial economy areas spanning from conventional stock markets to
cryptocurrencies. The VO -Gaussian functions provide a more robust
expression for the distribution function of price returns in real-world
systems. Additionally, we analyzed the temporal evolution of the anomalous
characteristic exponents derived from our study, which are associated with the
long-range memory in time series data and autocorrelation patterns.Comment: 15 Pages, 3 Figures. Submitted to Physical Review