Q-variance relationship is exactly equivalent to Inverse Gamma distribution for volatility, which is generated by multiplicative Langevin process for short times.
Stochastic multiplicative processes for financial markets.Physica A: Statistical Mechanics and its Applications, 306(1–4):412–422, 2002
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.PR 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Multiplicative Langevin Process for Volatilities Produces Observed Q-Variance Regularities
Q-variance relationship is exactly equivalent to Inverse Gamma distribution for volatility, which is generated by multiplicative Langevin process for short times.