𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Microscopic origin of non-Gaussian distributions of financial returns

✍ Scribed by T.S. Biró; R. Rosenfeld

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
724 KB
Volume
387
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The origin of fat-tailed distributions i
The origin of fat-tailed distributions in financial time series
✍ G.M. Viswanathan; U.L. Fulco; M.L. Lyra; M. Serva 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 130 KB

A classic problem in physics is the origin of fat-tailed distributions generated by complex systems. We study the distributions of stock returns measured over di erent time lags . We ÿnd that destroying all correlations without changing the = 1 d distribution, by shu ing the order of the daily retur

Statistical estimation of optimal portfo
Statistical estimation of optimal portfolios for non-Gaussian dependent returns of assets
✍ Hiroshi Shiraishi; Masanobu Taniguchi 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 370 KB

## Abstract This paper discusses the asymptotic efficiency of estimators for optimal portfolios when returns are vector‐valued non‐Gaussian stationary processes. We give the asymptotic distribution of portfolio estimators __ĝ__ for non‐Gaussian dependent return processes. Next we address the proble

Probability distributions of peaks and t
Probability distributions of peaks and troughs of non-Gaussian random processes
✍ Michel K. Ochi 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 643 KB

This paper deals with the development of probability density functions applicable for peaks, troughs and peak-to-trough excursions of a non-Gaussian random process where the response of a non-linear system is represented in the form of Volterra's second-order functional series. The density functions