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EnglishWe propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of nancial 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 param- eters, the model is able to t several key features of the time series of nancial indexes, such as the Dow Jones Industrial Average, with a remarkable accuracy.
| Titolo: | Scaling and multiscaling in financial series: a simple model |
| Autori: | |
| Data di pubblicazione: | 2012 |
| Rivista: | |
| Abstract: | We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of nancial 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 param- eters, the model is able to t several key features of the time series of nancial indexes, such as the Dow Jones Industrial Average, with a remarkable accuracy. |
| Handle: | http://hdl.handle.net/11562/1009607 |
| Appare nelle tipologie: | 01.01 Articolo in Rivista |
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http://hdl.handle.net/11562/1009607
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