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- W3147962311 abstract "Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently devised 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. 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.
- W3147962311 created "2021-04-13" @default.
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- W3147962311 date "2008-07-26" @default.
- W3147962311 modified "2023-09-27" @default.
- W3147962311 title "The ups and downs of the renormalization group applied to financial time series" @default.
- W3147962311 hasPublicationYear "2008" @default.
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