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The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures

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Figure

Figure 1: Centered distribution of the 14956 daily returns of the S&P 500 index (January,
Figure 2: Student copula density with ν = 3 and trivial correlation matrix.
Figure 3: Process simulation with ν = 3.2, D = 0.20, and λ = 0.107.
Figure 4: Omori law for a single run of the process, with D = 0.20, ν = 0.32. N(t) is the
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