A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns (Q2430251)

The paper discusses financial models and their properties. For (possibly, independently time-changed) Lévy processes and symmetric processes, the author proves several important properties. The essence of these properties is bivariate interchangeability of two special functionals, the so called up- and downside volatility ratios. These results together with known techniques for testing the bivariate interchangeability enable the author to check hypotheses about log-returns of financial price processes. After testing a large amount of data, the author finds a strong evidence that most stock price processes cannot be assumed to have interchangeable up- and down-side volatility ratios. This allows to come to the conclusion that most financial data (half of stocks of DJIA, two thirds of S\&P 500 and almost all German DAX stocks) cannot be adequately modeled by the processes whose log-returns are either time-changed Lévy processes or symmetric processes.