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|
|Publication status:||Published in Quantitative Finance, Taylor & Francis (Routledge), 2012, 12 (1), pp.1-10. <10.1080/14697688.2010.481635>|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00620841|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
References listed on IDEAS
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- 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.
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- A. Christian Silva, 2005. "Applications of physics to finance and economics: returns, trading activity and income," Papers physics/0507022, arXiv.org. Full references (including those not matched with items on IDEAS)
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