Time-independent models of asset returns revisited

    Tutkimustuotos: LehtiartikkeliArticleScientificvertaisarvioitu

    10 Sitaatiot (Scopus)

    Abstrakti

    In this study we investigate various well-known time-independent models of asset returns being simple normal distribution, Student t-distribution, Levy, truncated Levy, general stable distribution. mixed diffusion jump, and compound normal distribution. For this we use Standard and Poor's 500 index data of the New York Stock Exchange, Helsinki Stock Exchange index data describing a small volatile market, and artificial data. The results indicate that all models, excluding the simple normal distribution, are, at least. quite reasonable descriptions of the data. Furthermore. the use of differences instead of logarithmic returns tends to make the data looking visually more Levy-type distributed than it is. This phenomenon is especially evident in the artificial data that has been generated by an inflated random walk process. (C) 2000 Elsevier Science B.V. All rights reserved.

    AlkuperäiskieliEnglanti
    Sivut304-324
    Sivumäärä21
    JulkaisuPhysica A: Statistical Mechanics and its Applications
    Vuosikerta282
    Numero1-2
    DOI - pysyväislinkit
    TilaJulkaistu - 1 heinäkuuta 2000
    OKM-julkaisutyyppiA1 Julkaistu artikkeli, soviteltu

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