USE OF FEYNMAN PATH INTEGRAL FORMALISM TO STUDY THE EVOLUTION OVER TIME OF THE MOMENTS OF DISTRIBUTION FUNCTIONS ASSOCIATED WITH NON-STATIONARY FINANCIAL TIME SERIES

Back to Page Authors: Felipe Segundo Abril Bermúdez, C. Quimbay

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Keywords: Feynman path integral, stochastic drift, non-stationary financial time series, Hamiltonian

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Abstract: In this work, the formalism of the path integral is used to describe the evolution in time of the distribution moments associated with non-stationary financial time series ordered temporarily. It is found that the correlation functions of n points establish a causal structure that naturally describes the long-range correlation. Also, it is concluded that the stochastic drift corresponds to a measure that polynomially scales the temporal evolution of all the moments around the origin of a probability distribution associated with a time series.

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