Scaling and multiscaling in financial series: a simple model

DOI10.1239/AAP/1354716588MaRDI QIDQ4906506zbMATH OpenOpenAlexFDO

Authors Alessandro Andreoli, Francesco Caravenna, Paolo Dai Pra, Gustavo Posta

Publication date 28 February 2013

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1006.0155, https://projecteuclid.org/euclid.aap/1354716588

zbMATH Keywords

financial indexheavy tailmultifractal modelmultiscalingscalingshocksstochastic volatility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Abstract: We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a Gaussian behavior (large time), slow decay in the volatility autocorrelation and multiscaling of moments. Despite its few parameters, the model is able to fit several key features of the time series of financial indexes, such as the Dow Jones Industrial Average, with a remarkable accuracy.

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Cited in

(17)

• Scaling issues for risky asset modelling
• Multiscale behaviour of volatility autocorrelations in a financial market
• Evolutionary model of stock markets
• The microstructure of stochastic volatility models with self-exciting jump dynamics
• Multiscale behavior of a simple model for stock markets
• General smile asymptotics with bounded maturity
• Research of scaling law on stock market variations
• Multi-scaling in finance
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• scientific article; zbMATH DE number 2095956 (Why is no real title available?)
• Multi-scaling of moments in stochastic volatility models
• Measuring multiscaling in financial time-series
• Multi-scale description and prediction of financial time series
• A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES
• How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
• The asymptotic smile of a multiscaling stochastic volatility model

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