{"id":"https://openalex.org/W7153116992","doi":"https://doi.org/10.6084/m9.figshare.31985448","title":"A Sophisticated Stochastic Framework for Stock Price Estimation: Theory, Simulation, and Application to","display_name":"A Sophisticated Stochastic Framework for Stock Price Estimation: Theory, Simulation, and Application to","publication_year":2026,"publication_date":"2026-04-10","ids":{"openalex":"https://openalex.org/W7153116992","doi":"https://doi.org/10.6084/m9.figshare.31985448"},"language":"en","primary_location":{"id":"doi:10.6084/m9.figshare.31985448","doi":"https://doi.org/10.6084/m9.figshare.31985448","is_oa":true,"landing_page_url":"https://doi.org/10.6084/m9.figshare.31985448","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"JournalArticle"},"volume":null,"type":"article","indexed_in":["datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.6084/m9.figshare.31985448","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5133361225","display_name":"Rajit Chatterjea","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Chatterjea, Rajit","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5035724718","display_name":"Jayson Park","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Park, Jayson","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.2119487,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.6664999723434448,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.6664999723434448,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.3285999894142151,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.002099999925121665,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stock-price-estimation","display_name":"stock price estimation","score":0.9279999732971191},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.7689999938011169},{"id":"https://openalex.org/keywords/jump-processes","display_name":"jump processes","score":0.9779999852180481},{"id":"https://openalex.org/keywords/regime-switching-models","display_name":"regime switching","score":0.9980000257492065},{"id":"https://openalex.org/keywords/volatility-clustering","display_name":"volatility clustering","score":0.8960000276565552},{"id":"https://openalex.org/keywords/leverage-effect","display_name":"leverage effect","score":0.7789999842643738},{"id":"https://openalex.org/keywords/ergodicity","display_name":"ergodicity","score":0.7509999871253967},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.828000009059906},{"id":"https://openalex.org/keywords/aapl","display_name":"AAPL","score":0.8119999766349792},{"id":"https://openalex.org/keywords/earnings-announcements","display_name":"earnings announcements","score":0.9480000138282776},{"id":"https://openalex.org/keywords/banking-crisis","display_name":"banking crisis","score":0.6359999775886536},{"id":"https://openalex.org/keywords/risk-management","display_name":"risk management","score":0.8190000057220459}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6854000091552734},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6284999847412109},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5807999968528748},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.5508000254631042},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.504800021648407},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.5034000277519226},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.5030999779701233},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4675000011920929},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.4528999924659729},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4406999945640564},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.42010000348091125},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.41440001130104065},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4020000100135803},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.38029998540878296},{"id":"https://openalex.org/C2781426361","wikidata":"https://www.wikidata.org/wiki/Q5326940","display_name":"Earnings","level":2,"score":0.36399999260902405},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.3384999930858612},{"id":"https://openalex.org/C108710211","wikidata":"https://www.wikidata.org/wiki/Q11538","display_name":"Mathematical proof","level":2,"score":0.329800009727478},{"id":"https://openalex.org/C34388435","wikidata":"https://www.wikidata.org/wiki/Q2267362","display_name":"Bounded function","level":2,"score":0.30979999899864197},{"id":"https://openalex.org/C2985497776","wikidata":"https://www.wikidata.org/wiki/Q1148384","display_name":"Leverage effect","level":4,"score":0.30149999260902405},{"id":"https://openalex.org/C2994019854","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Stock market volatility","level":4,"score":0.2953000068664551},{"id":"https://openalex.org/C88757350","wikidata":"https://www.wikidata.org/wiki/Q1557613","display_name":"L\u00e9vy process","level":2,"score":0.2863999903202057},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.27570000290870667},{"id":"https://openalex.org/C114118609","wikidata":"https://www.wikidata.org/wiki/Q3036837","display_name":"Market data","level":2,"score":0.27090001106262207},{"id":"https://openalex.org/C127491075","wikidata":"https://www.wikidata.org/wiki/Q7617825","display_name":"Stochastic modelling","level":2,"score":0.26919999718666077},{"id":"https://openalex.org/C2988984586","wikidata":"https://www.wikidata.org/wiki/Q1020013","display_name":"Stock price","level":3,"score":0.2689000070095062},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.2669999897480011},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2635999917984009},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.26170000433921814},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.2581000030040741},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.257999986410141},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.2572000026702881}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.6084/m9.figshare.31985448","doi":"https://doi.org/10.6084/m9.figshare.31985448","is_oa":true,"landing_page_url":"https://doi.org/10.6084/m9.figshare.31985448","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"JournalArticle"},{"id":"doi:10.6084/m9.figshare.31985448.v1","doi":"https://doi.org/10.6084/m9.figshare.31985448.v1","is_oa":true,"landing_page_url":"https://doi.org/10.6084/m9.figshare.31985448.v1","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"JournalArticle"}],"best_oa_location":{"id":"doi:10.6084/m9.figshare.31985448","doi":"https://doi.org/10.6084/m9.figshare.31985448","is_oa":true,"landing_page_url":"https://doi.org/10.6084/m9.figshare.31985448","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"JournalArticle"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W1990796487","https://openalex.org/W7128536246","https://openalex.org/W4412993674","https://openalex.org/W7130976997","https://openalex.org/W4386938002","https://openalex.org/W3124556323","https://openalex.org/W4395694462","https://openalex.org/W2907088764","https://openalex.org/W7160966119","https://openalex.org/W2374989534"],"abstract_inverted_index":{"Financial":[0],"markets":[1],"exhibit":[2],"complex":[3],"dynamics":[4,32],"including":[5],"volatility":[6,82,112],"clustering,":[7],"sudden":[8],"jumps,":[9],"regime":[10,28],"shifts,":[11],"and":[12,30,48,101,109,120],"leverage":[13],"effects.":[14],"This":[15],"paper":[16],"develops":[17],"a":[18],"comprehensive":[19],"hierarchical":[20],"state-space":[21],"framework":[22,67],"integrating":[23],"stochastic":[24,111],"volatility,":[25],"jump":[26],"processes,":[27],"switching,":[29],"self-exciting":[31],"to":[33,68,88,107],"capture":[34],"these":[35],"phenomena.":[36],"We":[37],"provide":[38],"rigorous":[39],"theoretical":[40],"validation":[41],"through":[42],"proofs":[43],"of":[44,61],"existence,":[45],"uniqueness,":[46],"ergodicity,":[47],"estimation":[49],"consistency.":[50],"Simulation":[51],"studies":[52],"demonstrate":[53],"strong":[54],"performance":[55],"with":[56],"mean":[57],"absolute":[58],"log-price":[59],"errors":[60],"0.077.":[62],"Critically,":[63],"we":[64],"apply":[65],"the":[66,78],"real":[69],"AAPL":[70],"stock":[71],"data":[72],"from":[73],"2023-2024.":[74],"Empirical":[75],"results":[76],"show":[77],"model":[79],"effectively":[80],"captures":[81],"dynamics,":[83],"identifies":[84],"market":[85],"regimes":[86],"corresponding":[87],"known":[89],"events":[90],"(banking":[91],"crisis,":[92],"Fed":[93],"policy":[94],"shifts),":[95],"detects":[96],"jumps":[97],"around":[98],"earnings":[99],"announcements,":[100],"achieves":[102],"superior":[103],"out-of-sample":[104],"forecasting":[105,119],"compared":[106],"GARCH":[108],"simple":[110],"benchmarks,":[113],"establishing":[114],"practical":[115],"utility":[116],"for":[117],"financial":[118],"risk":[121],"management.":[122]},"counts_by_year":[],"updated_date":"2026-10-28T10:33:24.094632","created_date":"2026-04-11T00:00:00"}