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The times change: multivariate subordination, empirical facts

  • 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)

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

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    File URL: http://hal.archives-ouvertes.fr/docs/00/62/08/41/PDF/14697688.2010.pdf
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    Paper provided by HAL in its series Post-Print with number hal-00620841.

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    Date of creation: Jan 2012
    Date of revision:
    Publication status: Published, Quantitative Finance, 2012, 12, 1, 1-10
    Handle: RePEc:hal:journl:hal-00620841
    Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00620841
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    1. Bence Toth & Janos Kertesz, 2009. "The Epps effect revisited," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 793-802.
    2. 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.
    3. 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.
    4. 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.
    5. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
    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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