Empirical properties of asset returns: stylized facts and statistical issues

DOI10.1080/713665670zbMATH Open1408.62174OpenAlexW2100011707WikidataQ56503695 ScholiaQ56503695MaRDI QIDQ4646480FDOQ4646480

Authors: Rama Cont 

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713665670

Recommendations

• An asset return model capturing stylized facts
• An introduction to statistical finance
• Scaling issues for risky asset modelling
• scientific article; zbMATH DE number 1552554
• Elements for a theory of financial risks

zbMATH Keywords

statistical analysisasset returnsprice variations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (only showing first 100 items - show all)

• Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
• Sparse precision matrices for minimum variance portfolios
• Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
• \textit{SMART-or} and \textit{SMART-and} fuzzy average operators: a generalized proposal
• Machine learning and speed in high-frequency trading
• Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
• Transitions in the stock markets of the US, UK and Germany
• Herding behaviour and volatility clustering in financial markets
• Heterogeneous round-trip trading and the emergence of volatility clustering in speculation game
• Development of an agent-based speculation game for higher reproducibility of financial stylized facts
• Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression
• Modeling and complexity of stochastic interacting Lévy type financial price dynamics
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
• Network tail risk estimation in the European banking system
• Market stability with machine learning agents
• Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
• The odd log-logistic Weibull-G family of distributions with regression and financial risk models
• Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics
• On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case
• COVID-19 and credit risk: a long memory perspective
• Pricing equity warrants in Merton jump-diffusion model with credit risk
• Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
• Universal features of price formation in financial markets: perspectives from deep learning
• Adaptive Huber regression on Markov-dependent data
• The cross-correlation analysis of multi property of stock markets based on MM-DFA
• Equity returns and sentiment
• Investigation of non-Gaussian effects in the Brazilian option market
• Non-parametric news impact curve: a variational approach
• Thermal and superthermal income classes in a wealth alike distribution generated by Conway's game of life cellular automaton
• A review of two decades of correlations, hierarchies, networks and clustering in financial markets
• Brownian motion minus the independent increments: representation and queuing application
• Regime switching model estimation: spectral clustering hidden Markov model
• Test for the existence of finite moments via bootstrap
• High frequency trading strategies, market fragility and price spikes: an agent based model perspective
• Detection of changes in a random financial sequence with a stable distribution
• Planetary boundaries of consumption growth: declining social discount rates
• Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes
• Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
• Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
• Local and implied volatilities with the mixed-modified-fractional-Dupire model
• Pricing participating policies under the Meixner process and stochastic volatility
• Modeling the coupled return-spread high frequency dynamics of large tick assets
• Intraday pairs trading strategies on high frequency data: the case of oil companies
• On the finiteness and tails of perpetuities under a Lamperti-Kiu map
• Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
• On the concentration of large deviations for fat tailed distributions, with application to financial data
• A finite volume-alternating direction implicit method for the valuation of American options under the Heston model
• Exogenous and endogenous price jumps belong to different dynamical classes
• Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors
• User-friendly covariance estimation for heavy-tailed distributions
• Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect
• Complexity and the character of stock returns: empirical evidence and a model of asset prices based on complex investor learning
• Developing new portfolio strategies by aggregation
• Lead-lag detection and network clustering for multivariate time series with an application to the us equity market
• Jump detection in high-frequency financial data using wavelets
• Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
• Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model
• Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices
• High-dimensional two-sample mean vectors test and support recovery with factor adjustment
• Levels of complexity in financial markets
• Testing power-law cross-correlations: rescaled covariance test
• Reliability in portfolio optimization using uncertain estimates
• Impact of value-at-risk models on market stability
• Computation of the Delta of European options under stochastic volatility models
• Limits of Limit-Order Books
• Anomalous volatility scaling in high frequency financial data
• Equilibrium pricing in an order book environment: case study for a spin model
• Linking market interaction intensity of 3D Ising type financial model with market volatility
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
• The determinants of CDS spreads: evidence from the model space
• Maximum likelihood estimation of the Markov-switching GARCH model
• Modeling tails of aggregate economic processes in a stochastic growth model
• TVICA -- time varying independent component analysis and its application to financial data
• On some distributional properties of subordinated Gaussian random fields
• Distributionally robust chance constraints for non-linear uncertainties
• Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
• The skewed multifractal random walk with applications to option smiles
• A new type of barrier options: lizard option
• Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
• Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution
• Option pricing under fast-varying and rough stochastic volatility
• Speculative behavior and the dynamics of interacting stock markets
• A behavioural model of investor sentiment in limit order markets
• Stock return predictability despite low autocorrelation
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• Ising model of financial markets with many assets
• Fat tails and colored noise in financial derivatives
• Arbitrage with fractional Gaussian processes
• Distributionally robust optimization with polynomial densities: theory, models and algorithms
• Modeling and simulation of financial returns under non-Gaussian distributions
• Effects of intervaling on high-frequency realized higher-order moments
• Optimal portfolio under fast mean-reverting fractional stochastic environment
• Test on the linear combinations of covariance matrices in high-dimensional data
• On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
• Central quantile subspace
• Empirical properties of a heterogeneous agent model in large dimensions
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• Option pricing in markets with informed traders
• Generative adversarial networks for financial trading strategies fine-tuning and combination
• The risks and returns of stock investment in a financial market

This page was built for publication: Empirical properties of asset returns: stylized facts and statistical issues

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4646480)