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A risky asset model with strong dependence through fractal activity time

Heyde, C C

Description

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...[Show more]

dc.contributor.authorHeyde, C C
dc.date.accessioned2015-12-13T23:41:28Z
dc.date.available2015-12-13T23:41:28Z
dc.identifier.issn0021-9002
dc.identifier.urihttp://hdl.handle.net/1885/94920
dc.description.abstractThe 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.
dc.publisherApplied Probability Trust
dc.sourceJournal of Applied Probability
dc.subjectKeywords: Black-Scholes model; Fractal activity time; Heavy tails; Long-range dependence; Risky asset model; Self-similarity
dc.titleA risky asset model with strong dependence through fractal activity time
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume36
dc.date.issued1999
local.identifier.absfor010401 - Applied Statistics
local.identifier.ariespublicationMigratedxPub24628
local.type.statusPublished Version
local.contributor.affiliationHeyde, C C, College of Physical and Mathematical Sciences, ANU
local.bibliographicCitation.issue4
local.bibliographicCitation.startpage1234
local.bibliographicCitation.lastpage1239
dc.date.updated2015-12-12T09:32:38Z
local.identifier.scopusID2-s2.0-0033233850
CollectionsANU Research Publications

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