_:ne2337c7580234b18840700f3ee66f1afxb13
<http://schema.org/description>
"The Geometric Brownian Motion (GBM) is a standard model in quantitative\nfinance, but the potential function of its stochastic differential equation\n(SDE) cannot include stable nonzero prices. This article generalises the GBM to\nan SDE with polynomial drift of order q and shows via model selection that q=2\nis most frequently the optimal model to describe the data. Moreover, Markov\nchain Monte Carlo ensembles of the accompanying potential functions show a\nclear and pronounced potential well, indicating the existence of a stable\nprice."
<https://api.deepai.org/profile/oliver-kamps>