The times change: multivariate subordination, empirical facts
The normality of multi-asset returns in event time is shown empirically. A multivariate subordination mechanism is proposed in order to explain this phenomenon.
|Date of creation:||Jan 2012|
|Date of revision:|
|Publication status:||Published, Quantitative Finance, 2012, 12, 1, 1-10|
|Note:||View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00620841|
|Contact details of provider:|| Web page: http://hal.archives-ouvertes.fr/ |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tóth, Bence & Kertész, János, 2006. "Increasing market efficiency: Evolution of cross-correlations of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 505-515.
- Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003.
"Fluctuations and response in financial markets: the subtle nature of `random' price changes,"
cond-mat/0307332, arXiv.org, revised Aug 2003.
- Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive 0307332, Science & Finance, Capital Fund Management.
- Bence Toth & Janos Kertesz, 2009. "The Epps effect revisited," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 793-802.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
- Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
- A. Christian Silva, 2005. "Applications of physics to finance and economics: returns, trading activity and income," Papers physics/0507022, arXiv.org.
When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00620841. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If references are entirely missing, you can add them using this form.