Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges

TL;DR

This paper compares empirical return data from New York and Vilnius stock exchanges to a unified nonlinear double stochastic model, revealing insights into market dynamics across different financial markets.

Contribution

It introduces a nonlinear double stochastic model that effectively matches return data from two distinct stock exchanges, demonstrating its broad applicability.

Findings

Model accurately fits return data from both exchanges

Reveals common nonlinear stochastic features in different markets

Supports the model's potential for cross-market analysis

Abstract

We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.