Research

@article{Serafin2020,

title = {Averaged-Calibration-Length Prediction for Currency Exchange Rates by a Time-Dependent Vasicek Model},

author = {Tomasz Serafin and Anna Michalak and Lukasz Bielak and Agnieszka Wylomanska},

url = {https://doi.org/10.4236/tel.2020.103037},

doi = {10.4236/tel.2020.103037},

year  = {2020},

date = {2020-01-01},

journal = {Theoretical Economics Letters},

volume = {10},

number = {03},

pages = {579--599},

publisher = {Scientific Research Publishing, Inc.},

keywords = {Economy, Modeling, Ornstein-Uhlenbeck process},

pubstate = {published},

tppubtype = {article}

}

@article{CKLS_2019,

title = {Stochastic modelling of currency exchange rates with novel validation techniques},

author = {Grzegorz Sikora and Anna Michalak and Lukasz Bielak and Pawel Mista and Agnieszka Wylomanska},

doi = {https://doi.org/10.1016/j.physa.2019.04.098},

issn = {0378-4371},

year  = {2019},

date = {2019-01-01},

journal = {Physica A: Statistical Mechanics and its Applications},

volume = {523},

pages = {1202 - 1215},

publisher = {Elsevier},

keywords = {CKLS model, Economy, Modeling, Ornstein-Uhlenbeck process, Risk factors, SGT distribution},

pubstate = {published},

tppubtype = {article}

}