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- W4253475454 abstract "The geometric Brownian motion (Black–Scholes) model for the price of a risky asset stipulates that the log returns are i.i.d. Gaussian. However, typical log returns data shows a leptokurtic distribution (much higher peak and heavier tails than the Gaussian) as well as evidence of strong dependence. In this paper a subordinator model based on fractal activity time is proposed which simply explains these observed features in the data, and whose scaling properties check out well on various data sets." @default.
- W4253475454 created "2022-05-12" @default.
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- W4253475454 date "1999-12-01" @default.
- W4253475454 modified "2023-09-25" @default.
- W4253475454 title "A risky asset model with strong dependence through fractal activity time" @default.
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- W4253475454 doi "https://doi.org/10.1017/s0021900200018003" @default.
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