Scaling issues for risky asset modelling

DOI10.1007/S00186-008-0253-6zbMATH Open1166.91016OpenAlexW2012462676MaRDI QIDQ1028545FDOQ1028545

Christopher C. Heyde

Publication date: 6 July 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0253-6

zbMATH Keywords

heavy-tailed distributionsscalingfractal markets

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

• Stable Paretian models in finance
• Student processes
• On modes of long-range dependence
• Empirical realities for a minimal description risky asset model. The need for fractal features
• On the controversy over tailweight of distributions.
• A risky asset model with strong dependence through fractal activity time

Cited In (9)

• Apparent multifractality of self-similar Lévy processes
• Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
• Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
• Risky Asset Models with Tempered Stable Fractal Activity Time
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• Obituary: Christopher Charles Heyde AM, DSc, FAA, FASSA
• Detecting multifractal stochastic processes under heavy-tailed effects
• A risky asset model with strong dependence through fractal activity time
• A normal inverse Gaussian model for a risky asset with dependence

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