TIME-DELAYED STOCHASTIC FOURIER SERIES MODELS FOR FINANCIAL MARKET FORECASTING
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| Natura: | Recurso digital |
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Zenodo
2026
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| _version_ | 1866901912370020352 |
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| author | Nwosu, Amarachi Ngozi |
| author_facet | Nwosu, Amarachi Ngozi |
| contents | <p><span>In this paper, we derive closed-form solutions for a class of stochastic delay differential equations (SDDEs) used in asset pricing. By incorporating Fourier series coefficients to model asset-return functions, we establish exact conditions for asset price dynamics under three functional scenarios—linear, quadratic, and cubic. These functions define the drift component in the SDDE, leading to three unique analytical solutions. We then empirically examine how time delay affects each asset price model, demonstrating that greater delay diminishes the value of time-dependent investments. Among the three scenarios, the linear return-rate model yields the most accurate approximation of observed asset values</span></p> |
| format | Recurso digital |
| id | zenodo_https___doi_org_10_5281_zenodo_19187304 |
| institution | Zenodo |
| language | |
| publishDate | 2026 |
| publisher | Zenodo |
| record_format | zenodo |
| spellingShingle | TIME-DELAYED STOCHASTIC FOURIER SERIES MODELS FOR FINANCIAL MARKET FORECASTING Nwosu, Amarachi Ngozi Asset pricing, return rates, Fourier series, stochastic analysis, time delay. <p><span>In this paper, we derive closed-form solutions for a class of stochastic delay differential equations (SDDEs) used in asset pricing. By incorporating Fourier series coefficients to model asset-return functions, we establish exact conditions for asset price dynamics under three functional scenarios—linear, quadratic, and cubic. These functions define the drift component in the SDDE, leading to three unique analytical solutions. We then empirically examine how time delay affects each asset price model, demonstrating that greater delay diminishes the value of time-dependent investments. Among the three scenarios, the linear return-rate model yields the most accurate approximation of observed asset values</span></p> |
| title | TIME-DELAYED STOCHASTIC FOURIER SERIES MODELS FOR FINANCIAL MARKET FORECASTING |
| topic | Asset pricing, return rates, Fourier series, stochastic analysis, time delay. |
| url | https://doi.org/10.5281/zenodo.19187304 |