Volatility in financial markets: Stochastic models and empirical results
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Publication:1850396
DOI10.1016/S0378-4371(02)01187-1zbMATH Open1001.91032arXivcond-mat/0202527OpenAlexW2045967365MaRDI QIDQ1850396FDOQ1850396
S. Miccichè, Fabrizio Lillo, Rosario Nunzio Mantegna, Giovanni Bonanno
Publication date: 3 December 2002
Published in: Physica A (Search for Journal in Brave)
Abstract: We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fails in describing the empirical pdf over a moderately large volatility range.
Full work available at URL: https://arxiv.org/abs/cond-mat/0202527
Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic models in economics (91B70)
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