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- W3125071128 abstract "Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently proposed a way to build a model describing the time evolution of a financial index. We first make it fully explicit by using Student distributions instead of power law-truncated Levy distributions; we also show that the analytic tractability of the model extends to the larger class of symmetric generalized hyperbolic distributions and provide a full computation of their multivariate characteristic functions; more generally,the stochastic processes arising in this framework are representable as mixtures of Wiener processes. The Baldovin and Stella model, while mimicking well volatility relaxation phenomena such as the Omori law, fails to reproduce other stylized facts such as the leverage effect or some time reversal asymmetries. We discuss how to modify the dynamics of this process in order to reproduce real data more accurately." @default.
- W3125071128 created "2021-02-01" @default.
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- W3125071128 date "2008-01-01" @default.
- W3125071128 modified "2023-10-16" @default.
- W3125071128 title "The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures" @default.
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- W3125071128 doi "https://doi.org/10.2139/ssrn.1185245" @default.
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