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Stanislavsky, A.A. - In: Physica A: Statistical Mechanics and its Applications 318 (2003) 3, pp. 469-474

In this paper, we consider a new mathematical extension of the Black–Scholes (BS) model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the directing process is inverse to the totally skewed,...

Persistent link: https://www.econbiz.de/10011057377

Multifractal models via products of geometric OU-processes: Review and applications

Leonenko, Nikolai; Petherick, Stuart; Taufer, Emanuele - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 1, pp. 7-16

This paper reviews a class of multifractal models obtained via products of exponential Ornstein–Uhlenbeck processes driven by Lévy motion. Given a self-decomposable distribution, conditions for constructing multifractal scenarios and general formulas for their Renyi functions are provided....

Persistent link: https://www.econbiz.de/10010589377

Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

Lopes, Sílvia R.C.; Prass, Taiane S. - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 278-307

stationarity and the ergodicity of these processes. We prove that, if {Xt}t∈Z is a FIEGARCH(p,d,q) process then, under mild …

Persistent link: https://www.econbiz.de/10011058849

A new correlation coefficient for bivariate time-series data

Erdem, Orhan; Ceyhan, Elvan; Varli, Yusuf - In: Physica A: Statistical Mechanics and its Applications 414 (2014) C, pp. 274-284

The correlation in time series has received considerable attention in the literature. Its use has attained an important role in the social sciences and finance. For example, pair trading in finance is concerned with the correlation between stock prices, returns, etc. In general, Pearson’s...

Persistent link: https://www.econbiz.de/10010931520

Regional house price behaviour in the UK: application of a joint testing procedure

Cook, Steven - In: Physica A: Statistical Mechanics and its Applications 345 (2005) 3, pp. 611-621

The notion of a ripple effect in the UK housing market implies stationarity in regional:national house price ratios. In … test and a test of stationarity. In contrast to the previous studies which have failed to detect stationarity using the … Dickey–Fuller unit root test, the proposed method uncovers stationarity for a number of regions. Monte Carlo evidence is …

Persistent link: https://www.econbiz.de/10010590420

Towards a fractal approach to hadronization: evidence for stability, stationarity and scaling in hadron-production processes

Qin, Liu - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 1, pp. 36-43

intervals are non-Gaussian stable random variables, which exhibit stationarity and scaling. The implications of the obtained …

Persistent link: https://www.econbiz.de/10010591153

Long-memory volatility in derivative hedging

Tan, Abby - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 2, pp. 689-696

The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl. Finance 8 (2005) 381–392] where they incorporate...

Persistent link: https://www.econbiz.de/10010871600

Underlying dynamics of typical fluctuations of an emerging market price index: The Heston model from minutes to months

Vicente, Renato; Toledo, Charles M. de; Leite, Vitor B.P.; … - In: Physica A: Statistical Mechanics and its Applications 361 (2006) 1, pp. 272-288

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless...

Persistent link: https://www.econbiz.de/10010872440

A delay financial model with stochastic volatility; martingale method

Lee, Min-Ku; Kim, Jeong-Hoon; Kim, Joocheol - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 16, pp. 2909-2919

In this paper, we extend a delayed geometric Brownian model by adding a stochastic volatility term, which is driven by a hidden process of fast mean reverting diffusion, to the delayed model. Combining a martingale approach and an asymptotic method, we develop a theory for option pricing under...

Persistent link: https://www.econbiz.de/10010874388

Modelling financial time series using multifractal random walks

Bacry, E.; Delour, J.; Muzy, J.F. - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 84-92

Multifractal random walks (MRW) correspond to simple solvable “stochastic volatility” processes. Moreover, they provide a simple interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that they are able to...

Persistent link: https://www.econbiz.de/10011057644