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- W3121968855 abstract "High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following properties: (i) They are not Gaussian and their center is well adjusted by Levy distributions. (ii) They are long-tailed but have finite moments of any order. (iii) They are self-similar on many time scales. Finally, (iv) at small time scales, price volatility follows a non-diffusive behavior. We extend Merton's ideas on speculative price formation and present a dynamical model resulting in a characteristic function that explains in a natural way all of the above features. The knowledge of such distribution opens a new and useful way of quantifying financial risk. The results of the model agree -with high degree of accuracy- with empirical data taken from historical records of the Standard & Poor's 500 cash index." @default.
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- W3121968855 date "2000-03-01" @default.
- W3121968855 modified "2023-09-27" @default.
- W3121968855 title "A dynamical model describing stock market price distributions" @default.
- W3121968855 hasPublicationYear "2000" @default.
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