Levy models and long correlations applied to the study of exchange traded funds

DOI10.1080/00207160902763765zbMATH Open1163.91417OpenAlexW2073726944MaRDI QIDQ3636739FDOQ3636739

Authors:

Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160902763765

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• scientific article; zbMATH DE number 5565446

zbMATH Keywords

exchange traded fundslong memory effectsLévy flight

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Random operators and equations (aspects of stochastic analysis) (60H25)

Cites Work

• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Fractional Brownian Motions, Fractional Noises and Applications
• Introduction to Econophysics
• Title not available (Why is that?)
• A Black--Scholes option pricing model with transaction costs
• Introducing false EUR and false EUR exchange rates
• The Effects of the Asian Crisis of 1997 on Emergent Markets Through a Critical Phenomena Model

Cited In (3)

• An optimisation approach to constructing an exchange-traded fund
• Does the ETF market overreact in the United States?
• LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH

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