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The times change: multivariate subordination, empirical facts

Author

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  • Nicolas Huth

    (MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - Ecole Centrale Paris)

  • Frédéric Abergel

    () (MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - Ecole Centrale Paris)

Abstract

The normality of multi-asset returns in event time is shown empirically. A multivariate subordination mechanism is proposed in order to explain this phenomenon.

Suggested Citation

  • Nicolas Huth & Frédéric Abergel, 2012. "The times change: multivariate subordination, empirical facts," Post-Print hal-00620841, HAL.
  • Handle: RePEc:hal:journl:hal-00620841
    DOI: 10.1080/14697688.2010.481635
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00620841
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    File URL: https://hal.archives-ouvertes.fr/hal-00620841/document
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    References listed on IDEAS

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    1. Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Papers cond-mat/0307332, arXiv.org, revised Aug 2003.
    2. 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.
    3. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
    4. Bence Toth & Janos Kertesz, 2009. "The Epps effect revisited," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 793-802.
    5. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    6. A. Christian Silva, 2005. "Applications of physics to finance and economics: returns, trading activity and income," Papers physics/0507022, arXiv.org.
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    Cited by:

    1. Mehdi Lallouache & Fr'ed'eric Abergel, 2013. "Tick Size Reduction and Price Clustering in a FX Order Book," Papers 1307.5440, arXiv.org, revised Sep 2014.
    2. Parker, Edgar, 2016. "Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability," MPRA Paper 80039, University Library of Munich, Germany.
    3. Mehdi Lallouache & Frédéric Abergel, 2014. "Tick size reduction and price clustering in a FX order book," Post-Print hal-01006414, HAL.

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