The aim of this paper is to study the cross-sectional effects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the...

The aim of this paper is to study the cross-sectional effects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the...

Generalized continuous time random walks with independent, heavy-tailed random waiting times and long range dependent jumps are considered. Their scaling limits are determined in terms of the Hermite processes and inverse of stable subordinators. These limiting processes provide an interesting...

Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric α-stable Lévy process. The time change is given by the inverse...