Non-linear dependences in finance
AbstractThe thesis is composed of three parts. Part I introduces the mathematical and statistical tools that are relevant for the study of dependences, as well as statistical tests of Goodness-of-fit for empirical probability distributions. I propose two extensions of usual tests when dependence is present in the sample data and when observations have a fat-tailed distribution. The financial content of the thesis starts in Part II. I present there my studies regarding the "cross-sectional" dependences among the time series of daily stock returns, i.e. the instantaneous forces that link several stocks together and make them behave somewhat collectively rather than purely independently. A calibration of a new factor model is presented here, together with a comparison to measurements on real data. Finally, Part III investigates the temporal dependences of single time series, using the same tools and measures of correlation. I propose two contributions to the study of the origin and description of "volatility clustering": one is a generalization of the ARCH-like feedback construction where the returns are self-exciting, and the other one is a more original description of self-dependences in terms of copulas. The latter can be formulated model-free and is not specific to financial time series. In fact, I also show here how concepts like recurrences, records, aftershocks and waiting times, that characterize the dynamics in a time series can be written in the unifying framework of the copula.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1309.5073.
Date of creation: Sep 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-26 (All new papers)
- NEP-ECM-2013-09-26 (Econometrics)
- NEP-ETS-2013-09-26 (Econometric Time Series)
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- Gilles Zumbach, 2010. "Volatility conditional on price trends," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 431-442.
- Tola, Vincenzo & Lillo, Fabrizio & Gallegati, Mauro & Mantegna, Rosario N., 2008.
"Cluster analysis for portfolio optimization,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 32(1), pages 235-258, January.
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